What kind of dough are you using? If you use a cream cheese dough, they may be more likely to open. I tried using the dough from a recent Smitten Kitchen posting, and the edges stayed together (much to my surprise).
They're not supposed to stay closed. They're always open in the middle. If you have trouble getting the outer edges joined together try brushing that part with beaten egg white before you crimp them. Water might also work, but egg whites are a pretty sure thing.