I have not experienced that problem. Perhaps you are screwing them on too tight.

Irregardless, what I would do would be to pick up a roll of teflon thread tape at the same hardware store. This tape, if you haven't used it before, is wrapped tightly over the male threaded componants... in the direction of screwing something onto the male threads. This tape will act as a lubricant and a sealer of threaded parts.