Originally Posted by Retro Grouch
The lock nuts have to be pretty tight against the cones. Otherwise your bearing preload adjustment won't hold.
Yup. The locknuts should be very tight against the cones, but the cones shouldn't be extremely tight against the ball bearings.
Also, if this is a quick-release hub, rememeber to leave some play in the bearings when you adjust, as the axle will be compressed when you tighten the quick-release.