Would it hurt the blade if you drill a small divit in to it (not going compleetely through) for the retention screw?
You could potentially do that, but you'd have to be pretty careful to ensure it doesn't go all the way through the blade. If you are using a heavy grade blade then it would probably be ok, a midgrade... eh, I think I would just go with the drop of Loctite like Sakura mentioned.
Also bear in mind that if you did drill a small divot into the blade then it would obviously only function if you lined up the blade perfectly into the hilt. More than likely you'd have to remove the retention screw completely, swivel the blade around until you found the divot, and then reapply the screw and tighten. It just seems like more of a hassle than the Loctite. If you are constantly taking your blade out then maybe the divot would be preferable, otherwise the temporary hold Loctite would be what I would go with.