The only time I've ever really had a problem with this is when I've tried to really pull the stem through the hole in the rim to set the nut. Now... when I change out tubes and tires, I leave the nut just barely threaded when setting the tire on the rim and pumping it up. Once pumped, it's usually sticking out to a normal level and then I thread the nut all the way down, being careful to not really pull on it.

This advice is, of course, applicable only for Presta valves with threaded valve stems.