Yeah, you need to get some headset washers. These range from 2mm to 10mm. Measure the gap you have between the locknut and adjustable cup and get the next size up washer.
You also need TWO headset wenches to properly tighten a headset. You spin up the adjustable up into the locknut which you're spinning down with the 2nd wrench. The majority of headsets that have repeated loosening problems were not tighted in this manner.