Some brands are worse then others for this, my solution is usually a *small* dab of regular old white glue. I know some people use super glue, but thats overkill in my opinion, white glue works fine, but still allows you to twist the sarado off when it comes time to change a string.
And, as mentioned, the Tribute kendamas from www.kendamausa.com
simply cannot come apart. I've had the chance to play with pretty much every different version of the Tribute kens, and the newest batch are by far the best yet. Awesome kendamas, a great fix for loose sarados, and restringing the ken is much simpler!