The little black spacer thing? The one that pivots on one of the pinch bolts and clips onto the other one?
Put the little black spacer thing back in, it's useful, and here's why:
The black spacer is not a spacer at all, but a guide. You might notice that it's got a little metal point sticking out of it. That metal point should fit into the hole on the axle when the LH crank arm is on in the correct position and, impotantly, ONLY when the LH crank arm is in the correct position. If the black spacer can't pivot into place easily (after you've done up the preload cap and before torqueing the pinch bolts) then something is wrong somewhere.
Things to check:
BB spacers – definitely got the right number of spacers of the right thickness in place for your BB shell width?
Preload cap – this doesn't hold the crank arm on, it just, well, preloads the bearings a bit. Don't do this up tight in the hope it will hold your cranks together. Just use the little tool to do it up finger-tightish. The crank is held on by the…
Pinch bolts – someone mentioned doing these up "barsteward-tight" which, sorry to be a stickler, is just wrong. Their advice to RTFM is good though. I don't follow EVERY torque guideline but manufacturers don't just pluck numbers out of thin air and in this case Shimano's numbers sould be followed. Torque the pinch bolts to the recommended torque setting.
It might be worth trying a different BB, just to see if that makes a difference, but I have a feeling that if the LH crank arm has come off once the splines will be shot and it'll never sit properly again.