I used to have this problem. I bought a Benelli M4 (my first of 3), very excited. I lubed it well, tightened the choke down with the factory wrench, and went to town! Every box of shells, it would loosen. I would dutifully tq it down again. Again and again this was repeated. So I posted on the internet. "Use grease" came the response. So I did. No help there. I just now had something that wouldn't wash out of clothes (Birchwood Casey metallic-base choke-tube lube, which I still use and love, btw.).
Anyways, what finally solved the issue was a Briley Speed Wrench. I now TQ it down good and snug, and last outing I shot 15-20 rounds of buckshot, 5 rounds of steel DDupleks slugs, 15 Slugger slugs, and 25 rounds of birdshot, (some rapid-fire 9-shot mag-dumps included). When I got home, the tube was nice and snug. My OEM wrenches just collect dust now, and I think those cheap-looking "quarter with guts" style wrenches are a total joke.
Bit the bullet and buy the Briley speed wrench, put some juevos into tightening it (don't get rediculous, just "manly" tight is good). Use a good choke-tube lube as well. If carbon gets under the tube, it won't be able to really solidify with that grease in there. Also, the grease will prevent it from getting stuck for any other reason. Non-evaporating up to about 2,000*F I think it says on the tube. I leave my choke-tube in after spraying it and the threads with CLP and then greasing the threads thoroughly.
Just what worked for me, your situation may vary of course!