I use these linkage stoppers on the vast majority of my planes:
http://www.horizonhobby.com/mini-ez-connector-(12)-dub915
I buy them in the jumbo pack like that because I use so many of them (I just completed my 69th electric foamie build last night, and yes it does use them!). Or you can buy just a couple of them at a time here:
http://www.horizonhobby.com/mini-ez-connector-(2)-dub845
The nice thing about those linkages stoppers is that they have a simple push-on retainer (made out of a rubbery material). Just take a pair of needlenose pliers and squeeze on the retainer, until it goes into a little groove that it sits in. If you have to take it off later, you can pry it off with a small screwdriver. I don't like the kind that has a nut to secure it on...because you don't want to tighten that nut down to the point that it stops free rotation, but if you leave it loose, will it come off due to vibration?
Like roversgonemad said, the linkage stopper shaft should rotate freely in the control horn but with no slop. If you have it so tight that it won't rotate, you will be making the servo bend the control rod when it moves, which will stress the servo and possibly lead to over-amping the BEC, leading to loss of control.
It doesn't matter whether you put the ez-connector (linkage stopper) at the servo horn or the control surface horn. I decide which one to put it on based on which horn has more room to ream out the fatter hole needed for the ez-connector (when compared to the smaller hole needed for the music-wire z-bend)...or based on which one has easier access for making adjustments at the ez-connector later on (if access is an issue).