I assume you are using two wrenchs- a cone wrench to hold the cone in its properly adjusted position and a second to tighten the lock nut? Are you saying then that after you tighten the cone and lock nut against each other the lock nut and cone loosen which results in too much play in the hub? If this description is what you are doing, I cannot understand why it loosens. I think I would try locktight as you mentioned.