The threads are a standard thread "Righty Tightly and Lefty Lossy".
It is hard to grab the shaft if the love joy (sprocket, universal joint?) unscrews. You can put some Loctite and let it set for awhile or just grab the thread's with a Vise Grip.
If you make some marks on the thread's, it will go back together hard, but it will be tight for the next time you replace gears.
If all else fails, use a Dermal too and cut t into the shaft gear. You can order new ones from CountryFreezerStore.com or call Tom 336.984.2885