Thread the blade onto the windage adj screw (about mid way or a little less) and then slide the assembly into the rear sight base.
Keeping that ultra tiny detent 'click' spring and plunger in place in the windage screw head is tricky as you've already found out!
With the screw with it's blade attached pushed into the slot,,then place the locking nut in the recess on to left side of the sight base.
The windage screw will be poking out into that recess already, so you have to carefully hold the locking nut in place and then turn the windage screw RH to thread the nut onto the windage screw.
-Don't push the windage screw back out in order to drop the locking nut into it's recess to do this,,,sounds like it'd be easier to pick up the thread, but it pushes the head of the windage screw back out on the right side and that tiny detent plunger and coil spring are unprotected and take another magic carpet ride on you.
Once the nut is threaded on to the windage screw, (a small 2 spur spanner made from a cheap screw driver helps to hold the nut as the screw threads on thru it),,tighten it up only to the point that any sideways movement of the screw and it's blade together are taken out of the now assembled parts in the base.
The screw turns but it does not advance or back off itself.
It just stays in that captured position between the abutments in the sight base.
The blade on the other hand moves back and forth on the threads as they are turning giving you windage. The 'click' detents from that miserable little plunger and spring hold those adjustments in small increments.
To keep the screw in it's nicely adjusted position with no play in it..the lock nut must be ,,,locked,, to the end of the screw when that perfect position is found.
The factory stakes the end of the screw shaft into the slot of the nut so they become one piece and turn as an assembly.
Some are individual stake marks into the slot, others appear to be a more simple smash-em centered mark into the threaded end of the screw.
The result has to be the same,,the nut ends up being attached to the screw and turns with it as adjustments are made.
If there's not enough mat'rl to re-stake the end of the screw to the nut,,sometimes there isn't after you take these apart. I've put them back together with a tiny amt of thread locker on the threads of the nut when assembled.
Don't over do it and get the stuff into the adj threads or you'll have a fixed sight gun. Just a dot inside those tiny threads and screw it on,,adjust it for no play and let it set up.