I thought I'd share my recent experience (and tremendous luck) with all of you as a heads up and hopefully as some constructive feedback to the vendors out there.
I recently purchased a set of b-e-a-utiful aluminum camshaft sprockets anodized in blue from Vick Auto Sports (I had no choice, you know!).

The install went smoothly and I was running the engine with the car parked for quite a while (if I had not been trying to verify a cooling system fix, I would have been driving the car at the time and would be on the hunt for a new engine, I presume).

Eventually, however, the screws fastening the aluminum ring to the sprockets (I'll call it the belt retainer) began backing themselves out. Before I realized what was happening, the rear-facing screws of the intake sprocket began to catch on the head, turning the intake camshaft into a lathe - I suddenly saw chunks of aluminum flying off of my engine! I killed the engine as fast as I could and as it spun down, a screw caught hard on the head and I listened to the wonderful sound of a timing belt jump 10 teeth.
By some miracle, I did not damage the engine permanently. After thanking an Italian deity for this gift, I carefully removed each of the culprit screws and applied Loctite Blue (medium strength) before re-installing them. I probably would have used Red (maximum strength) if I'd had it on hand, but Blue will be more than ample.
So the point here is: If you have already purchased cam sprockets with screws in them, be sure that thread locker has been applied to them so that they will not back out during operation.
If you are a vendor selling these sprockets I strongly suggest adding Loctite to your assembly process. A $40 bottle would last a great long while on parts like this and is cheap insurance against customer horror stories. Not everyone will be as lucky as I was to get out largely unscathed!
All the best to you! Wrench On!