Do you still have the spring in the fork and the cap on? The spring presses on the end of the damper rod and helps to keep it from turning while you turn the cap screw that goes into the damper rod at the bottom.
Even with the spring under tension, there is still sometimes a bit of trouble with the damper rod wanting to turn. I set up a tool that fits on my air impact wrench, and that gets those stubborn ones out.