I've had the same problem: I bought a frame which literature says came with a Tange New Levin headset, but mine came bare. I got a Campy SR headset instead, and have never been able to fit the whole assembly on. For awhile, I used it without the 4mm (?) thick special-engraved washer between top race and locknut (making it especially hard to adjust), but recently I bought a thin washer with a key for the slot in the tube, and still have enough threads for the locknut. Loose Screws sells them in thicknesses 1.5 mm and up (go back for other sizes):
1.5 mm washer-spacer

If you're totally wedded to having a particular headset work, and just a bit shy of having enough thread, you might consider one or both of:
a) milling some of the head tube height off (need to remove one or both fixed races)
b) milling a bit of the race seat down (ditto).
Any of these involves removing metal in a location that may be critical; head lug and fork crown designs vary a lot, so your mileage will definitely vary.