It depends on how much access you have to the offending axle- you could try knurling or upsetting the end with sharp diagonal cutters. An easier solution would be Loctite retaining compound. If you use it, make sure you keep it out of the bearing. I guarantee that wheel will never, ever come off. Krazy glue / CA might be a similar but less-permanent solution.
It sounds to me like somehow that axle escaped the knurling process during manufacture. If it were my loco, I would be on the phone to Marge tomorrow ordering a new power truck. Do they still require you to send the old one in? Heaven forbid that someone might try to counterfeit a toy train! 
