Been there, done that. I wrangled with a Specialized threaded headset on a Stumpjumper for several years, even carried two 32 mm (the large Park ones, until they made them smaller) headset wrenches with me in a fanny pack (before Camelbacks). I would tighten the locknut against the top cup and set off but it would inevitably start to loosen. The solution in the end was to finally spring for a Chris King GripNut Headset---I've never had a problem since.