Just guessing here based on what I've seen happen before, but I think what you'll find is that the lug nuts you've got have the wrong taper on them, or are the wrong diameter. As a result they are tightening through the rim and onto the hub instead, at least that sounds to me like what's happening. I know from past experience there are a variety of tapers available on lug nuts, as well as a variety of hex sizes available for the same thread. If it were me I'd get your local parts house to get in their wheel hardward book and find some nuts with the largest hex available for the bolts your using, as well as with the smallest taper available (for example, 60 degree vs 90 degree) that will all match up with the holes in the rim such that the small part of the taper is just setting in the top of the holes taper. If you can find a set like that it ought to eleminate your problems.
Thinking further, if you simply went with a bolt that would fit through the existing hole in the hub and said bolt doesn't fit tight in that hole, then your gonna have problems regardless of what you do. The bolt needs to be tight in the hole, with no movement, or the rim will have the room there to rotate back and forth every time you go from fwd to rev. Even with the rim tight initially, the constant torquing action from the movement of the machine can, and usually will, cause them to loosen up.
Don't know which particuar scenerio suits your problem best, but I have seen one, or both in combination, happen other over the years, so those are my best two guesses.
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