if your saying the tether is loose like a worn out wall socket, then that is likely worth a look first. That said, I don't know the mechanicals of 3rd Rail locomotives that well, so I'm only guessing based on similar issues from MTH offerings.
My guess is if you are handy, you could open the loco and very carefully pinch the contacts on the tether receptacle to provide a better connection when the tether is inserted. I'm not sure if you can access those contacts from the underside of the loco or if the receptacle has some screws on the outside that could be used to loosen it to access the contacts from the rear.
If you've not done something like this before, and given the value and rarity of most 3rd rail steam locomotives, I would take it to a technician or send it to 3rd Rail for repair.
