I've overhauled several sets and of course only the ones on my bike do this.

I did exactly what you mentioned, I used a screwdriver to hold the cone and then snugged down the nut and yes it did take a few tries to get it to where it felt just right.

I'll probably try adjusting them one more time before I give up on them and I might jut try the Loc-tite idea when I do.