Yeah, you gotta make the adjustment with the screw, independant of the locknut (I assume you know that the adjustment is backwards -counterclockwise tightens up the slack in the gears).
The screw should be sticking out above the locknut at least 1/4 inch. You could grip it with small vicegrips, or take a dremel tool and file a slot in the top for a std screwdriver to hold it in place while you snug the locknut.
Kinda like installing the top nuts on Bilstein shocks.

DG