Threaded headset wobbles after riding
If the locknut can't be tightened down without slipping, there will be no way to keep it tight.  Hopefully the fork threads are ok and not damaged otherwise you're looking at a new fork.  Also check to see that you're using at least 5 threads for the locknut - if the locknut is being tightened on only a couple of threads it's probably not going to hold and you'll have to either remove a spacer or use a lower profile top cup or get a longer fork.