Was at WDW this summer and the family got interested in pin trading. My youngest son did very well and got a number of quality pins in trade with CMs. We got some of the locking pin backs so he wouldn't lose them. Unless you are doing what some on here have already mentioned, I am not sure what the problem is because we haven't had any problems with them and I have really tugged on them after locking them.
I made sure the pin in pushed tight through the lanyard. I then made sure the allen screw was unscrewed almost completely out of the pin back. Then, I pushed the pin back tight on the pin post against the back of the lanyard, with the allen screw end on the pin back (it is closer to one end) closest to the back of the lanyard. After tightening the allen screw completely, I haven't had any problems. Unless you aren't turning the pin back the right way, or you're not diligently tightening the allen screw, I would guess that maybe you got some bad pin backs. The other thing is that you are cross threading the allen screws and they aren't actually going all the way in against the post of the pin, even though you can't turn them any more.