Gosh, that's too bad you are having this issue. I know on some non-Bernina machines the little lever thingy rests on top of the screw that holds the needle, but on the Bernina it is fork shaped and the forks rest on either side of the needle screw. I am sure that is how you are doing it, just wanted to check as I don't see clearly why it would slip off unless it is defective. Hope you can get it to work for you.
Edited to add: I remember once that I broke a needle with the walking foot and it was because the changeable sole plate wasn't clicked on in the right place on one side, the new walking foot is different as there is a little screw driver with it and a screw has to be loosened to change the sole plate.