You can try it either way, but for me the important part is that the wire pulls in to the screw when you wrap it clockwise, which makes it easy to trap the wire and tighten the screw down. When you wrap it counterclockwise, it has a tendency to pop out when you tighten the screw down. These screws are so tiny and the build area is so small, and my eyes aren't that great up close anymore, so I need all the help I can get. Plus, if the coil shifts around a bit after I tighten the screw, I just re-position it (which I would do anyway to clean the build up).
I wrap clockwise - just leave the mandrel inside the coil until it's tight on the screws, then re-adjust if needed before pulling the rod out and wicking it.
I'd much rather re-align the coil while building than have it come loose while vaping....