to keep from spinning, I put some red locktite around the barrel before squeezing it in. not really ever had a problem with them spinning in general (I use the ones with serrations along the barrel), but I figure it can't hurt...
Loctite makes stud cement (mine's green) that's more appropriate than a thread locker. But you'll also want to use the primer, since rivnuts are generally plated with stuff that's not compatible with direct application of anaerobic thread locking compound.
As for spinning, there are a number of styles of rivnuts, and you need to be cognizant of the "grip range". The "one piece" style for example, like this:
has knurling behind the flange, but that's meant to hold against the back-side of the sheet, and if you look closely at the diagram, you should note how the insert does not expand into the hole, so if you try to use this style with a thin sheet (the minimum is often >1/8"), you increase the likelihood of spinning.
The "two piece" style like this:

snaps into two pieces as you begin pulling, driving the rear cone section into the front, and causing the front to expand outwards all the way up to the flange, grabbing the hole by the bore. This is less likely to spin when used on thin sheet metal.
There are also ones with hexagonal bodies, but darned if I know where to get the matching punch (for an amount I can afford).