The answer would depend on what size (diameter & length) of set screw and where it is used.
There are many grades of Loctite anerobic sealants. The most commonly used in gunsmithing are:
Blue Locktite is the grade commonly used for gunsmithing applications. Application of mild heat (hot air gun or oven) will safely breakdown the material and allow screw removal w/o drawing temper of base metal. Used for riflescope base mounting screws, for instance.
Red Loctite is for more permanent applications and not intended for easy removal.
Please be advised that the manufacturer warns that screws smaller than 10-24 size are often permanently installed when the product is used.