I’ve had good luck with being gentle on tightening (it’s @jhb8426’s suggestion to go “palm tight”) … but lemme tell you there is no worse feeling in the world than screwing a yo-yo shut… and feeling it continue to turn… and turn… and turn… and slowly realize it’s starting to strip!
uuggghh it’s like watching a horror movie 
I did have one new (at the time) yo-yo that this started happening to me on, I asked on Reddit at the time and people said it was a known issue with that particular model and run of yo-yo. I was able to salvage it by putting some threadlock in one side.
looked it up, it was the Spin Dynamics Sensei.