The problem has always been that the Lego gear is Lego specific and never fit nicely on any servo.
The first step is to create a decent hole in the gear so an axle of some sort can be inserted and secured. I used a Dremel and a small grinder bit as a drill bit simply grabbed the odd part of the gear and damaged the gear. [Thanks Chris for the new ones] The grinder bit really didn't bore a hole, it burned it through. A Exacto cleans up the shavings.
Item next is to use the extra attachment pieces that come with every new servo. I used a 4-way connector and a 2-way connector bar. The 4-way is pushed into the new hole in the gear. A drop of CA is all it takes to create a solid platform.
Next the 2-way bar connector is put on the servo. Then, the gear 4-way piece can be screwed onto the servo. The two servo connector are back to back. Line up the 4-way piece to the 2-way piece and put a drop of CA at each end and you have a solid connection.
Finally, remove the gear assembly from servo and clip off the extra portion of the 2-way connector.
Here are photos:
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