Noticed today that my rear sight on my Mosquito was loose, it moved about 2 or 3 mm laterally.

I tried the small screw on the right side of the sight but all it did was turn.

Should I glue it down or send it to SIG?

Not being familiar with the sight, the set screw may be stripped? You might call SIG to see if they will replace the sight. Or, you might try the blue loctite (non-permanent) to secure it.

Are you saying the sight base itself is loose or just the sight aperture? The screw on the right side is for adjusting windage and can be stripped out by turning it too far.

Rear sight is loose while in the sight groove.