Okay I have done this before which is why im letting you on this, otherwise i really dislike doing small/big jobs on luxury cars. Too much money always at stake. Here is what you need - Sealant like kartik said, torx screwdriver and flat bladed screwdriver.
Step 1 - Your car should be off and in neutral position. this position is suitable for knob work because you can move the screwdrivers properly around the knob.
Step 2 - Make sure you dont scratch anything, the bar or the knob with the screwdriver. You need to remove the top chrome metal piece on the knob. This depends on the kind of knob as well, many knobs are different, in any case you can remove this metal piece to expose a screw. Google - 'torx screw on shifter knob for an image'
Step 3 - Remove the screw and apply the sealant to the threads of the screw. Yes you need to apply the sealant carefully on the spirals of the screw. install the screw again.
Step 4 - Wait for it to tighten and then try wobbling it to check. Replace the metal back into its place. there you have it.