Make sure that they are tight enough that the CPU cannot wiggle around, but don't overtighten.
Install the retaining screws/brackets to secure the cooler in place. If you have to tighten several screws, be sure to do them a couple of turns at a time in a cross pattern so that you don't put too much pressure on one portion of the CPU. Make sure that they are tight enough that the CPU cannot wiggle around, but don't overtighten.