I apologize if somebody already mentioned this ( and/or for not mentioning it far earlier).

Far and away the number one cause of threaded headsets that won't stay tight is a steerer slightly too long.

When the steerer is way too long it's obvious that the locknut can't thread down far enough, and folks add spacers. But when it's only a hair too long folks tighten the locknut thinking it's against the adjustable cone, when in fact it's beached on the top of the steerer, allowing the cone to loosen.

If you have trouble keeping an adjustment, it pays to remove the locknut and compare the avaulable thread depth to the amount of exposed steerer. If it looks real close add a spacer underneath.