Make sure you have all the pieces. There should be a retaining nut to hold the cone to the windshield post, this also helps lock the stud so it does not loosen.
Repro parts may have issues. It appears to me the system uses tapered cones (and a tapered rim on the 1930-31) which should have a matching taper on the post. If the tapers are correct the posts will lock to the cones (and 1930-31) lower posts with very little pressure from the wingnut (similar to how a Morse taper bit friction locks to a drill spindle). Adjustments may need to be made.
Our catalog shows a rough sketch of parts needed:
http://www.wescottsauto.com/WebCatal...31Roadster.pdf.
Note the washer under the wingnut, not authentic but helps prevent damage to paint or polish of the windshield posts.