The Lambda probe ones on my race system for the 955 have hex bolts in them that can be lockwired, haven't looked at a SS system to see if the same is possible
This happened to me a few times. It even rattled out when loctited in but I only used the blue stuff so the heat probably broke it down. In the end I fitted a spring washer underneath it and it's held since. I think the thread on the header got mashed a bit in the process though, as the last plug I fitted did not screw in very easily.
The new ones are stainless. When you fit them, make sure the threads are clean in the pipes, use some v.high temp grease and make sure the copper washer is in place. That's the little bugga that keeps them in place