Nope, don't do that. Locktite is a better idea. Epoxy would be even better! I don't trust Snap On's roll pin models either. The best are press fit.
Honestly, these are not great sockets. There are a lot of SK zealots here and SK strangely gets a lot of undeserved hype. What I believe you have is a high priced set of Craftsman bit sockets. The bits are soft and lack crispness, the connection to the chrome is loose and waiting to fail.
Never buy bit sockets where the large sizes neck down to fit the chrome. That's an unacceptable cost saving corner to cut. I don't care for the smaller bits that neck up to 1/4" hex to fit a common socket. But technically, if done well, they should be stronger than the Snap On style (straight hex). My experience is however that they never are. This is yet another cost cutting tactic, which often includes the dimensional properties of the hex shape and the hardness of the steel.
If you are working on low torque stuff, any tool will work okay (so you should have bought HF and saved money). But auto manufacturers use allen headed cap screws in space restricted high torque applications. These may not be good enough to keep you out of trouble. However much they cost, you could easily loose that in time, parts, and trouble if you strip the recess of a starter bolt or some such. DAMHIKT.