Are you meaning the whole arm - or just the cartridge (styli holder)thing with the finger hadle on?.
If its just the cartridge, double check its tight (obvious I know). If your on the usual dj type that is.........There is a little pin sticking up(when its unscrewed) which slots into the arm and then it 'screws' back tight into place back to tha end of the arm. If that little pin is missing then you may have to get a new catridge as there is nothing to stop it twisting/ moving around.
if its the whole arm.....on my decks there is two 'pivot pins' going horizontal across the swivel part of the arm assembly. These are infact 'Grub screws' or 'setting screws' about M4 (4mm dia). If you look on the end closely you will see a little groove for a mini scewdriver or a hexagon socket for an allen key. It should just be a case of tightening these up a tad.
Sirius.