Recommended Interchangeable Needles: Twist 5-Inch Red Lace by ChiaoGoo
My favorite interchangeable set of needles I've used is the ChiaoGoo Red Lace set. I've had these since I was in high school, and they are always the first set I grab when casting on. You can use a key to screw the needle into the cord, and I very rarely have issues with the joins coming loose. In addition, they have extension sets for shorter tips to use for hats and other small projects.
Wondering what length tips to buy for Magic Loop? Typically people will order the 4-inch tips so they can make a 16-inch cable needle, whereas with 5-inch tips the smallest circumference is 18 inches. Magic Loop requires at least a 40-inch cord, either option would work.