My figure won't keep its helmet on and if I get it on it is very loose and will spin around.
The best and most effective technique I've come across is to use a bit of nail varnish on the inner anti-stud of the helmet piece, as Tonk explained on his blog TonksToysBlog. Just be sure to apply a very tiny amount and give it plenty of time to dry.
I've had the same problem with two of my new LEGO sets. However, I've managed to fix my Stormtrooper helmet by taking a small piece of a rubber band about 2 centimeters long and put it between the helmet and the head. The rubber slows the spinning and it doesn't fall off as easily.
Hmm... Looks like his character is fairly new, with it being introduced this year, Jay (Legacy). With the relative newness of the pieces, I'm surprised the clutch strength is at issue.
Well, anyway, head over to LEGO's customer service page and fill out the request to replace your broken piece(S). I'm emphasizing because we don't know which piece, Helmet or Head, is "jayed" up.
Part #40925pb02: Minifigure, Headgear Ninjago Wrap Type 4 with Dark Blue Headband Pattern.
Part #3626cpb1892: Minifigure, Head Dual Sided Reddish Brown Eyebrows and Freckles, Lopsided Grin / Frown Pattern (Jay) - Hollow Stud.
Request to replace broken pieces HERE.
Parting words of advise: "Sunlight is the LEGO killer": Be cautious of any of your precious pieces being exposed to direct sunlight. The darker the piece the more warping sun heat it will absorb. I've ruined sculptures this way, where they just fall apart after spending a month in the sun on a shelf.
Assuming that they came together as a set, some Lego helmets don't fit tight in order to make it "easier" to put the helmet on, and if not, might not fit correctly at all. However, there could be an issue with the pieces itself. Get a cotton swab and some water, DO NOT USE ALCOHOL, as it will eat at the paint, and clean out the contacts.