It should ride tightly on the pipe leading to the shower head, and that should keep it pretty tight to the wall. There's no need to caulk that.

It is not tight. How do I make it tight?

Thanks!

Take off the showerhead, and slide the escucheon off. You'll see in the ceneter there should be s small flange all the way around the center hole bent in toward where the wall would be. Simply take a pair of pliers and SLIGHTLY close up that hole. You don't want to close it up too much, or you'll have a tough time getting it back on the pipe. OR, you could just head down to HD or Lowes and pick up another one. They're not that expensive-- maybe a couple of bucks.

Thanks Bill!!