No, it is not normal for a cable to need retightening every 30-40 miles. What type of shift levers do you have? Integrated brake lever/shifters, downtube shifters, bar-ends? One thing that would definitely cause the problem you mention is if you have downtube shifters that are sliding down the downtube. You'd see scratched paint if this were the case. Barring that, it's hard to say but here are a couple of suggestions. Maybe you've just crimped your current cable too much by having to readjust it so often, and now it pulls through the derailleur clamp. I'd try a new cable and if possible wait for it to finish stretching before retightening. I'd also be careful on shifts to the large chainring to not jamb the hard lever to the limit (if you have friction shifters).
Oil is good, grease is better.
2007 Peter Mooney w/S&S couplers/Terry Butterfly
1993 Bridgestone MB-3/Avocet O2 Air 40W
1980 Columbus Frame with 1970 Campy parts
1954 Raleigh 3-speed/Brooks B72