Are the pedals new and do they spin freely? A properly lubed pedal that spins freely should turn the treads in as you pedal keeping them tight. If the pedal is really dirty or has a broken bearing etc. and doesn't spin somewhat freely, then the bearings may not be turning as intended it will then try to turn the pedal out.

If the grease is just a little stiff, installing them per sch's comments should secure it while it loosens up.