Yes, ideally a set screw. Match what is under the gauge, sometimes they have a derlin washer. If you can't do that, yeah Teflon thread tape. There's no instruction manual on diy projects, you just keep trying until you find what works.If I were going to do this, what would you use? A set screw? What size and how long? Would you use some kind of thread tape or sealant? Forgive my ignorance, I’m new here and learning as I go.
I would just look up what size the threads are on those gauges and do a quick look at a hardware store for one, but in all likelihood you'd have to order one from Mcmaster-Carr. I hate to pay the shipping but they have just about everything and are the only place that will sell small quantities to individuals. There's a lot of leg work to tinkering. Try Amazon first though, free shipping, if not, mcmaster.com.
The other thing you could do, that is the simplist, is just buy a couple of extra gauges and if you do break one, replace it.