I see that was just threaded in, any issues with it unscrewing itself if you run it the wrong way?

All the ones I've seen just have a hex shaft into a socket with a groove at the other end of the spit to ride on sheet metal...keeps it from backing out.

Any sort of key would work, I've made quick assembly things by putting a pin through a pipe and then cutting a notch in the end of the shaft. Simple fit, easy to get in and out.