Problem solved (for me at least) - I got my Apple Watch (Sport-42mm-Space Gray) two days ago and never intended to use the sport band. When I took it out of the box - the first thing I did was swap out the Sport band for the Apple Leather one I bought. It turns out I installed the Leather band incorrectly. I found instructions for the correct facing/installation of the band and now it clasps securely and feels better. Apparently the magnets are placed at the extreme edge of one side of the band to maximize their effect (makes sense).
My version of the instructions:
The part of the band that attaches to the watch ( I will call it the foot) has a spot on one side of it that the release mechanism fits into. So the top of the foot has three "filled" slots and the bottom has three slots with only two filled - the middle slot is empty so the mechanism to secure the band can set. Because the band release is on the bottom - the side of the band that has the middle slot empty goes on the bottom.
I hope that helps.
Gregg