Make sure you're tightening the cone against the locknut well. I've had a couple over the years that just refuse to stay locked even when it seemed I really had 'em cinched. I used blue Loctite, but a Gorilla Headlock would be even better, I'd imagine:
http://abundantadventures.com/quads.html#HEADLOCK

Tangent question:
What's the preferred set of tools for knurled top cone style Headsets? I've been getting by with pipe wrench + headset wrench, but curious what others do.