I assume you know how to adjust the headset but will tell you anyway how I adjust my headsets.
I start with nice headset wrenches. I use a Campy 32mm wrench for the adjustment cup and a 5 sided lock nut wrench for the top nut. I adjust a shade tight (when you lift the front end, the bars turn but there is a tad of resistance. I then lock the adjustment cup in place and tighten the top nut slightly until pretty snug Then I hold the topnut tight and back off the adjustment cup (loosening) and REALLY lock them together. It has never failed me and I only have to re-adjust when I tear apar the headset for cleaning.
I test by dropping the front end (with the wheel attached) and listen for any buzzing. Then lock the front brake (if you have one) and rock the bike back and forth. Then turn the wheel perpendicular to the frame and repeat. If there is play I repeat the above procedure.
I have used this on Chris King headsets (the kind that do not have the self locking colars), Shimano, Campy, Tange, lots of kinds and they all work pretty well.