Aftermarket grips are especially bad for causing this. If it's an aftermarket (such as Pearce), leave the screw loose. Since the grip is rubber, it will never really get "tight"--it just compresses the grip. I had a Pearce grip on mine for some time, and while the screw was "loose," it never came out. The rubber grip provides constant pressure on it to keep it from backing out.
The "target style" grip with the thumbrest that shipped on many of the Makarovs to comply with import restrictions can cause this as well due to it being out of spec and cheaply made. If this is the case, replace it with an original grip. You'll probably like the original grip better as well.
If it is, in fact, an original Bakelite grip, you might find a washer to put under the screw head to use as a spacer. Your local Ace hardware probably sells thin brass washers.
