i didn't read all the responses to this, but i found, in my brief soldering career: on my cheap 15w/40w switchable iron, the tip(s) works itself loose pretty easily- i crank it tight with pliers every so often to maintain good metal to metal contact. also, try unscrewing the tip entirely and wirebrushing the carbon from the threads. it builds up there too, on mine anyway, and i reckon it is a crappy heat conductor. i also sand my tips to a clean red copper color periodically, hot or cold, to get rid of crud(smells like burnt hair when you do it hot-also the copper is a pretty red when hot).
i have even considered using thermal compound on the tip threads, but (probably wisely) have thus far abstained from doing so.