I think you just have to tighten it by turning the part of the jack that's exposed? It's a screw thing. I don't know if it'll damage the wires or anything though, but it's what I do.
you've to get a special spanner for it... tighten the nut thingy... but most guitars are like this, anyways, having it loose is alright, just dont have the other end(inside of the jack) exposed...
