(if it's the actual platforms that go under your feet that you're talking about)
It's usually not a problem. They're threaded (the left has a reverse thread) so that normal pedalling action tightens them down as you go. Lube the threads, install with moderate torque and you should be good to go.
(If it's pedals and cranks, the arms that the pedals are attached to that you're talking about)
Cranks can, and do come loose occasionally. The cranks being aluminum and the axle being steel usually means that the cranks gets badly damaged unless you get it fixed immediately, as it's pretty close to impossible to get a damaged crank properly seated again. To avoid this, grease all the parts and reassemble with the correct (high) torque.
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Depends a bit on what kind of axle you've got. If it's a nutted axle(as opposed to a q/r axle) it's usually enough just to tighten the axle nuts a bit harder. You might want to make sure that all the paint is removed from the contact surface of the dropout first. You can check that the locknuts on the axle are serrated/knurled on the side that face the locknut, and you can also get axle nuts that are serrated/knurled too. If that doesn't help then you'll have to get some chain tensioners.
Do note that a chain only has to be tight enough not to slap around too much, you don't want to tension it like a string.