Loctite 603 will hold it even if the setscrew falls out and is lost. I use it a lot, even if removal involves a heat gun afterwards to persuade it to let go. Has very nice gap filling ability, perfect for those assemblies with less than stellar fit.
Keyways work, but for the ultimate you need to use a drill and a taper reamer, so as to put a taper pin in. Holds essentially forever, and generally the failure mode is shearing of the steel taper pin, and only then if you have applied way too much torque for the shaft. Generally though not really adjustable after initial fitting, unless you have a new shaft. When I bought my reamers the metric one was $50, the imperial one was $5, for some reason, and of course the metric was out of stock. Only difference is the taper, 1:10 for metric, 1:12 for imperial. For low stress I often use the metric pins in the imperial hole, as the imperial pins are hard to get, and generally are special order, while the metric are off the shelf in assorted sizes. Gentle persuasion is the key, that is the name of the hammer I use to put them in. Getting them out after a few years often involved the heat gun and a drift with a much bigger hammer, or drill them out.