are you loosening the top fork clamp bolts too? can be tricky sometimes..
loosen clamp stem nut
loosen top fork clamp bolts
tension stem bearings
tighten clamp stem nut and fork clamp bolts
test
problems i have come across is the top clamp not locating on the tension nut (under clamp) it has a step that the top clamp fits over...
now also i have to ask, are you just adjusting the stem bearing or have you upgraded something as well..