Delta Kossel 3d Printer Heatsink issues
When assembling the hot end tip, make sure you screw in the extruder tip to the aluminum block first, then screw that assembly to the heat sink fins. On my Kossel, I did it the other way around, and had very poor results. 

If the whole assembly is spinning, then the clamp screws are either too long and can't tighten properly, or the holes might be stripped, or they're just not tight.

And yes, any movement in the hot end can cause problems, since we're dealing with steps as small as .1 mm.