Don't use teflon tape. That is made to SEAL pipe threads. It is not a thread lubricant.

You are probably not applying enough torque. If you are using an allen wrench, you pretty much need to go to nose bleed level to get the right torque. Even if you use a torque wrench, it may take a couple of times until they stay tight. Bolts actually stretch a little, so retorqueing is normal.