ANdr0id (post 6) nailed it. You need track huts. Jenson gives them a fancy name, but that is just a track nut; a nut that incorporates a serrated washer. Now, when you get those nuts, there is one more step you have to do. Dribble oil (motor oil, 3-1, doesn't matter) in between the washer and the nut and spin it until you know it has worked its way through. Then put some grease on the threads of your axle. Now, when you apply the wrench you will get some serious clamping force and slippage won't be an issue.

Oh, buy two pairs so when the serrations on the first pair get blunted you can just swap nuts. I have three bikes using those nuts and a bag of spares. Your best bet is to buy them from a bike shop since there are several standards for the threads. Bring your bike in or at least one of the nuts but the bike and its axle is better.

Edit: with good track nuts, the Hurdy Gurdy is hardly needed. If you go tothe track and watch the races, you will see that many racers use nothing to prevent slip except those nuts. They work. And next flat in the rain and the cold (and probably in the dark) you will be cursing that device you have to take off to pull your wheel out.

2nd edit: Bill Kapaun is right about getting new "sharp" locknuts. Again, bring your bike to the shop.

Ben