It is quite possible that the threads on the plug are not quite "snug" inside the drain. If you have Teflon tape available, wrap it around the threads a few times. If you don't have access to it, you can use high temperature silicone sealant on the threads. Just don't overdo it. Use as little as needed. Teflon tape is much better option though. You should be able to find it easily at plumbing supply stores.
Do not use any glues or epoxies.