Make sure ye use a fork bung, not a star nut (Mart ones seem to have a good rep), and that it's at the right depth to take the compression of the stem.
See if ye can find some of the fitting paste stuff (I use the stuff that came with an fsa seatpost- kind of a gritty gel, provides friction, I suppose).
It's always worth lookin' on the manufacturer's website, if ye know it, to see if they've any installation instructions as pdf's.- such as: