Why mess with it?
Sometimes the gap on a yo-yo will 'slip' after enough play. It starts out nice and tight, but then slowly loses its grip from being unscrewed and screwed together so many times. When this happens, sometimes the gap width will change simply from the yo-yo hitting the ground or your hand. If you notice your yo-yo's gap not holding its place, keep reading.

What can I do?
The best and easiest thing to do is to put some Locktite on the axle. Locktite is a blue substance that starts out as a liquid, but then gets firmer when you put it on something. It is intended to be used on the threads of screws to make them hold tighter. Just put a couple drops on the axle, screw the yo-yo back together, and let it sit for a while. It should be more difficult to screw and unscrew after that. Locktite comes under several different names... pictured here is Pro Lok, which is the same thing. Ask a friendly sales representative in your local hardware store and they'll know what you're talking about. The alternative is to get some plumber's tape and put it on the axle. Plumber's tape is a teflon tape that you would wrap around the axle to thicken the threads. I have never tried it and don't know where to get it, but it might be worth a try.