Yes just to clarify- those screws are not supposed to function to 'hold' the string's tuning in place after every time you tune. They are just supposed to make it a little easier or harder to turn the tuning peg- tightening or loosening the tension of the tuning machine, not the string. As Dusty said, it might be only needed once in a great while. If you notice a tuned string slipping lower in pitch because the peg will not hold it at its note, then that might be a good time to tighten the screw of that peg just a little- only until the peg holds the string in tune sufficiently. If you tighten the screws too much they can strip/stop working.
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