i am about to take apart my threaded headset which is always getting loose.
I tighten it and it loosens, its very annoying.

What should I keep my eye out for? what can cause this?

keyed washer, top nut bottoming out on steerer

stripped threads

There are several different kinds of headsets, each with their own set of problems. Do you have a photo or a 1000 words to tells what headset is giving you fits?

2 proper head set wrenches ..

Make sure you're tightening the cone against the locknut well. I've had a couple over the years that just refuse to stay locked even when it seemed I really had 'em cinched. I used blue Loctite, but a Gorilla Headlock would be even better, I'd imagine:
https://abundantadventures.com/quads.html#HEADLOCK

Tangent question:
What's the preferred set of tools for knurled top cone style Headsets? I've been getting by with pipe wrench + headset wrench, but curious what others do.

+1,

The most common cause of headsets that get loose quickly is the top nut bottoming on the steerer, and a washer underneath to solve it.

Headsets without keyed washers (forks without keyways) are also hard to keep adjusted and tend to loosen very slowly over time. This is harder to fix if the fork doesn't have a keyway, and might call for locktite in the locknut threads.

usually found on kids bikes and cheap stuff? just grab the channellocks

why would you use a pipe wrench? that stuff gouges, badly too.

use an adjustable with a headset wrench.

I have the same type of "Old School" headset, it is ROUND and knurled. You can not put a wrench on ROUND. I use a pair of Channel-locks with a rag or scrap of inner tube on the chrome to protect it.

Teflon tape on the fork threads.

BL

These require that the top toothed washer that sits on the knurled toothed top cone, has a tab that fits into the grooved steerer, so it will not turn when you tighten the top nut; Channel Locks are usually the tool of choice, but check if the washer tab has stripped out; if so you will need a bit for force to hold the knurled top cone when tightening..

I hand file the keyway into the forks I build. It doesn't have to extend all the way to the end of the threads; but just far enough to hold the toothed washer.

I cut my own keyways also, I line up center and put two pieces of painters tape the length of the slot I want to cut and use a 4 1/2" hand held grinder with a 5" cut off wheel to cut my slot then chase with the right fork tube tap. This has helped keeping things tight using a keyed washer.

Glenn

You might also want to check the alignment of the cups. The steering head may not have been faced properly, or the cups seated properly. A vernier across the cups should give some indication even without a measurement. The dumbest thing I tripped across was cups that were installed in a headtube without facing the headtube or even grinding the internal weld ridge in the headtube. The bearings seemed smooth enough, but I doubt the cups were either round or straight so pressure on the bearings couldn't possibly be uniform. Since I was installing a new race - it wasn't a big deal to just do what should have been done the first time.

Also a cracked (usually lower) headset cup will cause mysterious loosness.