My brother has recently had the same problem with his saxo, his saxo is a MK 2(first batch of MK2's) and it ended up being that the new drive shaft was slightly different to the original. Even though the car was a MK2 it needed a MK1 drive shaft ! why I don't know. The hub end of the new shaft had a chamfered edge on it and then tapered off to the splines, the old shaft didn't have the chamfer and tapered off smoothly to the splines. It is also worth checking that the hub nuts are done up tight enough. Did you replace them yourself ? or was it done by a garage. Its a bitch but if you have the old drive shafts you could compare them for any differences / if your comparing the lengths of the shafts make sure you do it when they are compressed.
Hope this helps.