When adjusting your chain it is critical that the axle blocks are pressed tight up against the adjuster screws when you tighten the axle. If they aren't your wheel may not be centered and your chain tension won't be accurate.
When riding the action of the engine pulling the chain will eventually pull the axle against the blocks, loosening your chain. A quick and easy way to keep the axle blocks pulled up against the adjuster is to stick one of the wrenches you were using to adjust the screw between the sprocket and chain, then rotate the wheel backwards until the chain is tight and the wheel stops. Note: the axle must first be loose for this to work. When you rotate the wheel backwards it tightens the chain, eventually locking out when the chain can't tighten anymore. Hold the wheel in this position and tighten the axle nut. Rotate the wheel forward to remove the wrench then check the slack in your chain and repeat the process until you are at the specified amount of slack.