Blowfish, that's just one of the "features" of a zippo. You could try wrapping a ranger band (a 1-2" section of bicycle innertube) around it. Or maybe even try rigging up some sort of thin O-ring to help make it more airtight. I'm not sure if either is really effective.

As most have said here, the key is just having a refill handy. You could consider buying a zippo fuel canister