Are you talking about the waste gate actuator? If it is coming off, your actuator may aligned wrong, so that the rod is at an angle. What kind of turbo do you have? Is it a stock actuator, heavy duty, adjustable? More info needed.
try using after market E-clips available from motormite. can be found in most large auto parts stores in Help! section. they are black anodized e-shaped clips that snap on just like original clips but i feel they stay on better. have had good luck so far. the only thing is getting them off! they tend to get lost in engine compartment upon removal, never to be found again.