Thanks for the replies! I think the nut is all metal and one piece. I'll have to take the skewer apart to check the thread on it and on the inside of the nut, too. When the wheel is on the fork it sure is acting like the thread is stripped, that's why it confused me that I was able to tighten the nut when it wasn't pressing up against the fork. I'll take it apart tomorrow and see if that's what happened.