Is it this wheel?
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Yo!






 
Pay attention also to always make the last movement of adjusting the focus in the same direction. Either forward or back. Choose one and stick with it when you zero your scope since there is a big vertical shift in the image of a couple mils one way and the other. If you are now seeing it "walk" one way from recoil then make that the direction to choose as the last direction of movement. Great glass, decent enough reticle, great illumination. The value of these cheap Leapers scopes is fantastic except for this one major flaw.

Which way does it tend to walk?
 
Try an o-ring between the knob and the body of the scope. That should give enough drag to stop it from moving overly easy. Or if it is the big ring, that Yo has pictured, moving on the dial you might be able to use some plastic clam shell material or pieces an aluminum can to shim it on the inside to tighten things up.

OK I'LL GIVE IT A TRY., GOT FIGURE OUT HOW TO GET THE MAIN KNOB OFF.