what kinda headset are you using? it could be that the top cap of ure threadless headset has a rubber ring in it coz its cheaper then making one that just fits perfect metal to metal. i had the same problem with my jetblack headset...if that is the case with ure headset try a soda can shim around the rubber ring in the top cap so it sits tight
if its a proto one...you have to put a bit of glue on the bolts to get them to tighten proberly cause they loosen easily