You should be screwing it down tight to the cartomizer first then to your battery so as not to damage threads or ever tighten onto the battery
Sent from my Nexus S
not 100% true. It depends on how the adaptor is set up. It's the centre pin you need to worry about. Look at both ends of the adaptor at the centre pin. Which ever is larger diameter is the part you should screw on first. It could be either the battery end or the carto end depending on how it was made. The adaptor is nothing more than a cylinder witha peg (that has a head like a nail) in the middle and non-conductive material separating the two. Each end is then threaded for your connections. Connecting the end with the wider diameter centre pin first ensures that this pin can not be popped out by accident. Like Slojas says, you only want it finger tight, so it makes contact and doesn't wobble. Too much pressure on the centre pin of your Battery and you could end up with a dead short, or worse.
Some adaptors will allow you to adjust the height of the centre pin with a screwdriver to give you the best contact and "look" (No gaps when connected to either end)