My friend Joerg usually puts a bit of tube over the tool and then stands on the other end ... about 100 kg ...
There is another option, which is to make some cuts in the nut face with a hacksaw, so the nut can adjust to the thread/exhaust more tightly (usually used for thread repairs). This will result in more friction.
If the nut really does unscrew you may think about pinching a hole and securing it with wire to a hole in one of the cooling fins
Andy