Originally Posted by FBinNY

I'll bet that you don't have a keyway in the steerer and a keyed washer. Unfortunately these have gone the way of Damascus steel, leaving no reliable way to ensure that the threaded upper cone and locknut don't work themselves loose over time.

Start by removing the locknut and seeing if the fork has a keyway (see image). If so get a keyed washer and it should solve the problem. If there's no keyway, paint the fork threads with something soft and gummy, like rubber cement or latex paint to improve traction for the locknut's threads. There's a product called Vibra-tite made of nylon paint made specifically for this kind of situation, but it's not stocked in general hardware stores.

With or without the keyed washer you also need to hold the threaded cone (some need thin wrenches, some don't have wrench flats and need pliers like Channelocks) and lock the cone and locknut against each other when making the headset adjustment, the same way as you do hub cones and locknuts.