If there is enough tension in the spokes they cannot come loose.
When I build wheels I lubricate the spoke threads (and the eyelets on the rim) so that the nipples can turn freely. But when they are tight enough they never, ever work loose. There is just so much tension in the spoke that the friction in the thread stops it unwinding.
Take it back to the LBS and demand they do a proper job.
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Just seen in an earlier post you mentioned it being a cheap wheel. If it was really v. cheap and the rim is weak enough then I suppose in theory you may not be able to tension the spokes enough before the rim starts to "pringle"...... take it back to LBS and talk to them nicely. Explain they worked loose again immediately and ask them if it possible to get them tighter. If not then wheel is a POS and I for one would not want to ride it.... Ask the LBS if they can rebuild the wheel for you with a better rim.
Or - and as I mentioned before it is a sticking plaster solution - threadlock the nipples when all the spokes are tight, and hope it lasts long enough while you save up the pennies for decent wheel.
