If you still can't seem to adjust it right after a small loosening of the cap, then:
1. the bearing surfaces may not be parallel (cups crooked in the headtube), or
2. you may have left out the compression ring (I think that's what it's called), or
3. your crown race might be crooked, or
4. maybe you installed the bearings (if cartridge) upside down

Or maybe you just need to stick with threaded. Come on back.