Are you absolutely sure that you have the cages in the right way around? It's pretty easy to get them wrong and there is no definite rule as to which way they go. I used to have myself convinced that the cone had to go in the side opposite the cage, but that's not always true. The only way to tell for sure is to examine the bearings and the cup and the cones and find the way that is obviously wrong (there will be one) and then assemble the other way. Also, if you have the bearing cages in backwards you will probably find that the cups don't screw in quite as far as they should. Finally, if you have trouble with adjustment or if you get it adjusted and after riding it appears that you have a loose spindle, there's a good chance one or both of the cages is in backwards.

Probably the best thing to do is to use loose balls -- can't get them in wrong.Sheldon had an opinion on this: http://www.sheldonbrown.com/tooltips/bbadj.html