Oddly enough... I was just dealing with this tonight on a friend's Mini.
As mentioned above, a jack under the rod end forcing the tapers together can often prevent the stem from rotating as the nut is tightened. You can also take one or two hammer blows to mate the tapers if a jack is not available but I hate to hammer on suspension and steering components. The best solution is Andy's method to use a "regular" nut first. That will work well if the stem's threads are not damaged and if a regular nut is available. Unfortunately for me (tonight) this was not an option as my friend did not have any spare, regular nuts with the right pitch. We had to use the jack method.