I have a similar issue, though mine related more to those with the supercharger. The EGR mounts to an aluminum block included with the S/C, as well as the EGR line itself. Over time, my EGR line likes to "back out" of it's threading. A few times a year, I have to pop the hood and re-tighten. Certainly not something I want to put thread lock on since it is a !@#$% to get to by hand. *shrug* Just one of them things....
You could always use some low strength thread locker, like Loctite 222. You should be able to bust it loose fairly easily with a wrench.