Fixing or tightening a loose limb in a GI Joe is much easier than a Star Wars type figure, since GI Joes can be taken apart so easily. Joints go loose because of wear from play in the “canal” are of the appendage. To help restore some tension to the joint connection, first take apart the Joe. Then in the “canal” part of the appendage you want to tighten, take some clear nail polish and paint lightly over it a few times. This will build back up the plastic that has worn down over the years.
Once that is dry, reassemble the figure. The joint should have much more tension now.