Then you you need to replace it.
Well said, ppgcowboy. If the wind conditions persisted for several hours while you were holding off the hoard of Japs, I suppose that you might want to take Jim's suggestion and use some Loctite to hold the sight in place during the assault. It just seems like a little too much work to get your solvent out and remove the Loctite after every Banzai charge as you move to your next defensive position, which of course might have an effect on the elevation and windage settings for the next go-around.
Of course, my previous suggestion was based on how much actual precision shooting you are going to do with the Lyman sight. Since it seems that you intend to do some long-range shooting with your Thompson, I agree with ppgcowboy, find another one that isn't as loose. By the way, none of them click into place while adjusting the windage. Good luck.