Hmm.
I've tried cutting a thin strip of masking tape and pasting it around the jack itself, such that when the nut is tightened, it squeezes against the masking tape, and there is a sort of resistance towards the nut, such that the more you tighten, the less likely the jack will come loose.
And oh yeah do you use a proper wrench to tighten your jack nut? I tend to be somewhat lazy and just use a pair of pliers which may not be the best way forward but it does get the job done.