Right then. CR diffs are great as long as you treat them right, as are all Losi diffs IMHO. And I know what you mean about all the Associated yobs giving you hell!
First, load up the diff with absolutely tons of grease. When you think there is enough in there, put more in. If you don't want to use expensive diff grease, then just use standard petroleum jelly (Vasolene). It really makes naff all difference if you ask me because of the quantities you put in there.
Then, assuming all your diff rings and shims are okay, tighten it up really tight. Not so that it locks, but nearly. You shouldn't be able to spin it all at all by hand using drivers in each outdrive to lock it. Or you can use a diff tightness gauge thingy instead of the drivers...but I just use the drivers. I have broken drivers doing this though, so use an old one or a thick one.
You should only really be able to spin the diff when it is installed using the wheel / CVD / dog bones to add torque.
Put some threadlock on the screw if you have to, but you shouldn't need this if you use a new or new-ish nylon threaded nut on the other end of the screw. If yours is old this could be the reason it is coming loose.
If the diff is new, then it will loosen a little as it beds in, so its worth checking after every run to make sure it is tight enough.
Hope this helps.