1. should use grease for bearings every time.
2. it sounds like you may have crossthreaded your locknut, in which case your fork may be screwed.
3. you need 2 wrenches to properly adjust and lock your headset.
a "pricey" headset is a luxury. If it's installed properly, a $30 headset will do just as well as, say, a Chris King. The primary function of a headset is to turn your handlebars maybe 90 degrees laterally either direction, nothing fancy about that.
As for forks, assuming it needs replacing, ask around shops you will eventually find one.