That's a very common problem. Are you talking about where they bolt to the head, or down at the collector? Both seem to back off like crazy.
Look at these
bolts that Summit has. They have a groove in the head. You tighten the bolt, slip on the D shaped washer, put the c-clip on. The D shaped washer butts up against the header tube and keeps them from backing off.
I haven't used them, but I plan on it next time I have anything with headers!