Order a new fan blade assembly, it will save you in the long run. They are generally welded together in the factory or press fit together (blades are keyed so as the button insert will not rotate). The fan blade can be purchased from either an online appliance repair shop or a local dealer. I think it will set you back about $25-$30. Faster, cheaper (in the long run) and first time it works.
There are two options , one is kind of hacky and requires some mechanical aptitude but is a cheap possible fix. Using a couple large washers - you could use screws to attach the washer onto the spindle mount (probably a 7/16 or 3mm thread size) on one side and set the other washer on the other side (I would probably use JB weld between the washer and the blades. and then secure the washers to the shaft with another set of 3 screws (even spaced around) and use nylon self locking nuts to retain it. [Cheap and should do the job.] However I will warn you depending on the speed of the blades - the force of starting could degrade the blades where your retaining screws lock one side to the other and it could end up not working at all. Big enough washer and locked down tight enough - you might get away with this. - remember the fan spins so if your retaining screws are not in the same arc and of the same weight - the blades will not be in balance. (the closer to the shaft the screws - the less Centrifugal force = better.)
The only other option I have for you is to get a replacement motor and fan assembly to fit it.A Motor and fan assembly is probably $100. but beats a new furnace. A Local Appliance repair should be able to provide you a cross reference fan assembly to fit. Who knows maybe they can tell you a good blade assembly that perhaps needs a simple reducer bushing to mount it.
I am assuming you removed the locking bolt on the fan blade , and when you say the blades turn loosely - you mean the spindle mounting of the blades turns freely in the fan blade assembly. You are correct - that should not spin freely - it should be secured to the blades. and the locking bolt secures it to the motor shaft.