NOBODY has experienced this? Really? :)
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I had this problem with a TecnoArm because of my clumsiness. I am not insinuating that you are clumsy. The bearings were covered by a small plastic plug that were easier to remove than see. After that I just snugged up the small screw until snug. Not farmer tight. No problems since.
One of those small screw driver kits available at any automotive store or electronic stores for 10 bucks will suffice. You will need good lighting and perhaps a magnifier to see the plugs covering the bearings.
Google a Rega drawing or check out the Vinyl Engine for a Rega tonearm schematic if you cannot find the plugs covering the bearing housings. They are fairly well disguised.