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There is quite a bit of play between the rag joint and the box. Presumably the set screws are supposed to cinch that down - also on the steering column where you are supposed to file a flat spot for one.
In the experience of users... are those set screws enough to do the job? It seems like a tall order... but I guess they should.
As said above dimple with a drill bit. Loctite on both the set screw and nut. I've never had one loosen up. On my C10 LS swap I'm running an aftermarket steering box that required a spline connector with set screws. The set screws are long enough that I could use ny-lock nuts instead of just jam nuts.