Sorry, but I've got to start with a, possibly dumb, question:
Are you aware that there are two nuts on the headset?
Since there are two nuts, it's important to undo the top (locking) nut and do the tension adjustment with the lower nut.
Then check the tension by putting the wheel against a wall or applying the front brake and trying to rock the bike. If it's loose, you'll be able to feel a slight "knock" in the steering, located up at the top clamp area. If it's too tight, the steering will feel difficult to turn.
Either way -- too loose or too tight -- are bad for their respective reasons.
Once you've got the tension set correctly, then you use the top nut to "lock down" the assembly. Be sure to hold a wrench on the lower nut as you tighten the upper down against it. You just want to keep it from turning, as you're tightening the lock nut. Otherwise, you'll just be turning the lower nut at the same time, screwing up your wonderful adjustment work...
Then you put the chrome top nut over the adjustment assembly.
If it loosens up again, I'd begin to suspect worn bearings or races.