There are two main methods:
One is to use a slightly dulled center punch to make a series of punch marks that cause metal to rise up around the punch mark.
The raised metal tightens the fit.
When possible, you should try to make the series of punch marks on the bottom of the sight, not the frame.
That way the gun stays original and if something goes wrong all you have to do is get another sight.
Second method is to use Loctite to bond the sight in place.
You can use Blue (low strength, temporary) for a snug fitting sight, or for a more permanent, stronger bond use Loctite Red.
Apply just a small drop of Blue to the dovetail and slide the sight in.
Allow to cure an hour or so, then shoot the gun on the range.
Sight in by using a brass drift and a small hammer to push the sight to correct windage.
Once sighted in, make a "witness mark" on the sight and frame if either has no indexing mark. This is so you can replace the sight to the same spot.
Remove the sight and clean the sight and dovetail of all lubricant and Loctite.
Apply a good drop of whatever type of Loctite you want and push the sight back in so the witness marks line up. Give the Loctite 24 hours to cure, then clean off any uncured Loctite and apply a lube to prevent rust.