Could be the axle is too long as already mentioned. Could also be the type of skewer you're using. If they're the external cam type, they don't have enough clamping power for horizontal dropouts (they're intended for vertical dropouts, which most bikes have nowadays). If this is the case, get a Shimano or Campy skewer, they still use the internal cam design, and will give you plenty of clamping power to keep the wheel from shifting in the dropouts.