I am doing research on mortality. I am running Cox regression and I am adjusting for 40 variables which are proven in the literature to be related with mortality. My main exposure is X. In my final model I have 19 variables that are significant and my exposure is non significant. Than I try the last analysis including interaction terms between my exposure and the 19 covariates that I found significant in the final model, of which only one interaction term was significant. It changes the coefficient of my main exposure around 40% and makes it significant.
Is this a good approach, and should I keep the interaction term in the model?