How many ft-lbs are you torquing your lug nuts to? How old is the torque wrench you're using?

Perhaps you should check the threads on your wheel studs and lug nuts. See if there is a lot of play between the threads when you screw on the lug nuts.

 

if you do 80 lbs per lug it should be fine.

You have to do it in a "star pattern" not in a circle otherwise it will have uneven distribution of pressure which could cause this.

I usually go in a star pattern at 50 lbs then switch to 80lbs for the second round.

It takes longer than just tightening em but it is definitely worth not having to worry about a wheel falling off much less the cost it would cause if it did fall off while driving

 

I have just a cheap bar style torque wrench about 90 ft pds. I always just do them by hand. I do use the star pattern. In fact I take one lug down till there is a little resistance then I go to the next and so and so. In other words I make three passes on each wheel. What about using something on threads to make it stay on would that help.