What raleighnut says. The threaded headset has two bits a spanner can fit - the upper race and the lock nut. Tighten the lock nut independently of the lock nut, until it is "just so". Hold it in place with your head set spanner and tighten the lock nut down onto it. That should stop it coming undone. You might find that the race turns a wee bit when you tighten the lock nut (in the same way that cup and cone wheel bearings do) and get too tight. Slacken it off a tadge and have another go.
