I used to have a hell of a time with all my snare drums. The tension rod closest to where my stick would hit on rim shots would back out after half a song, and the rods on either side of that would back out after a few songs too. On the drums with tube lugs, the bottom rods would back out too and sometimes I would find one or two rods lying on the floor.
I tried lug locks, but even they would back out. I tried Teflon tape, which did nothing at all. I thought about using blue LocTite, but didn't like the thought of introducing that stuff into my lug inserts, as it would make finger tightening my lugs difficult. The only thing that worked for me was locking the rods against the top of the lug inserts with 12-24 nuts. You can get the nuts made by Pearl like what comes on the Ian Paice snare drum, but for what they are, they are kinda pricey.
I got a box of 50 nuts from an industrial fastener supplier for $2.50 and they do the trick; no ifs, ands, or buts. You just have to be careful not to over-tighten them- just snug them up to the top of the lugs slightly. The first time I used them I locked them in fairly tightly and it roughed up the treads on my rods a bit. I chased the threads back and forth in the lugs a few times to clean them up again after that, but I realised that after I finger tightened the nuts, all they required to lock up effectively was maybe only a little more than a 16th of a turn. Since I started using them I've never had a single rod loosen, even on snare drums that were tuned really low.