The cup with the handle should be touching the derailer hanger in the closed position and then it's the same as a quick release...tight but not too tight.....if you're using a steel skewer as cyclops recommends then you're not going to damage the bike. The issue usually is one where the skewer will bow slightly under pressure which can result in damage to the hub, this is more a problem with alum. skewers rather than steel.
To go back to the QR analogy, as you come in to close you should feel pressure, but you should be able to close it without having to kill yourself, if you can do it with one arm then it's probably secure.
Give your bike a little back and forth shake when its in the trainer, you'll be able to tell if it's secure or not
Last edited by pcates; 02-19-09 at 02:01 PM.