If I understood correctly, you have
something like I have?
I solved my problem (slippage) with higher pressure between wheels (stronger springs). You can try with heavier load? Or pre-load with springs? Less grease?
dip shaft in epoxy glue and sprinkle it with sand from sand-paper? Wrap sand-paper around shaft?
Use shaft from old printer, they are treated with grit to increase friction with paper.
I would advise against knurling, as un-evenness may cause problems with tracking, and knurls are usually very coarse.