Thanks for the advice fellas. I was pretty sure that Loctite wouldn't work due to the heat.
The threads on both the stubs and nuts are good - in fact they are quite tight to do up. I think the problem is that it is near impossible to get enough leverage on the nuts when doing them up, due to everything getting in the way.
When I worked in a Moto Morini shop in London, to tighten the exhaust nuts on them, rather than bash the spanner with a mallet, we used an old fork stanchion over the c-spanner for added leverage. The exhaust nuts on them were notorious for working loose. Many owners wired the nuts to the head. I also owned a Commando for a while, which also had lousy threaded exhaust nuts! I wired them to the head. I've considered this option for the OB, but am reluctant to take a drill to it.
I'll try the string idea - this looks to have merit. But I still think the secret is in getting more leverage on the spanner.
Cheers, Graeme