Here's a copy/pasta from the Dean Markley site that is worth a read.
STAYING IN TUNE

The first thing that most people assume when their guitar won't stay in tune is that the tuners are slipping, or somehow not doing their job. A logical enough assumption, but 99.9% of the time it is wrong. Given that all the intonation factors we have discussed are accounted for, making the instrument capable of getting in tune in the first place, the most common reason guitars go out of tune is our old friend...strings. "But I put new strings on today," you cry. Yes but did you stretch them? "Of course," you protest. Let's see that guitar. Well look at this. One yank on the low E and the pitch drops a step and a half. If your average guitar repairman had a nickel for every time that scenario took place, he would be working from a mansion in Malibu, not the back of the local axe shack.

When you put on new strings the windings around the tuners must be tightened by pulling the string until it no longer goes flat when pulled. This requires repeated moderate pulling, retuning, pulling, retuning and so on until done. Pull the string away from the fingerboard, not across it to avoid breaking the nut. If you don't do this, then every time you play a song or bend a string you will be tightening those windings, causing the string to go flat. By the time they settle in, it will be long past time to change your strings, and the whole process will start over.

If you find when stretching the string that it keeps going flat and eventually pulls out of the tuner, you may be stringing the guitar improperly. Pull the string through the tuner (or cut off the end and insert it, as with Kluson-style Fender tuners), leaving just enough slack for two to four windings - too many windings makes stretching difficult.

If the tuner is the type where the string pulls through, take each unwound string and bring it back and under itself in such a way that the windings will go over the end, thus locking it (POSSIBLE ILLUSTRATION). If it is the Kluson-style, wind the string part way down, then back up then all the way down to achieve a similar effect. Proper stringing and stretching of the strings will prevent going out of tune 90% of the time. As the folks at Nike say, "Just do it."