I agree with Martin, the simplest way is probably a roll pin. Alternatively, you could drill and tap a cross-hole and use a grub screw. That has the advantage of being removable.
The challenge with both those options is that it can sometimes be difficult to get the drill into the right place (depending on the length of the handwheel centre piece) - here's a photo from when I did something similar for the three vice screws on my
portable workbench - you can see I had to use a reduced size chuck:
You might be able to get round that by drilling at an angle.
Another approach is to drill in from the end. For short-ish screws this is quite straightforward on a pillar drill; for longer ones you'd need to do it by hand which is a little more challenging.
That hole can then be tapped for a grub screw:
2
Alternatively, just buy some Loctite 603 and stick them together - assuming the threaded bar is a good fit in corresponding hole in the hand wheel, it'll be plenty strong enough. Peening could work, especially if the hand wheel is threaded to match the screw so the peening is just there to prevent rotation and and the screw does the rest of the work. If it's a plain shaft in a smooth hole it'll be a lot more difficult to get it right I think.