I recently went keyless (Sierra) and ran into some similar problems but am very happy with the keyless system now that I've gotten used to it. 
Tony got it right. The trick is to continue pulling the string while tightening down the allen screw. Make sure that your adjuster is loosened all the way up so that its at its closest point to the nut before you attach the new string. I'm not sure if anyone else mentioned this but do not wrap the string all the way around the allen screw; it should only make a half circle. If you wrap it all the way around the string will cut in to itself when you tighten it down and either break immediately or prematurely.[This message was edited by Chuck Martin on 28 April 2002 at 05:14 PM.]
