To be more specific about that slight extra preload drag feel. Yes, you want them to feel that way when the QR skewer is tight. I use a couple of bits to aid me in doing this. One is a block that the QR threads into so I can hold the wheel by this block in my vise as a "third hand" and the other is a thick washer that slips on the QR on the lever end so it butts up against the end of the axle instead of the locking nut. This leaves the one side accessable to let me play with the cone and locking nut. Then I remove it from the vise for a quick check.
Someone mentioned a similar trick where you use a thick washer on one side and put the other end of the axle into an old frame dropout cut from a damage bike frame. You can clamp the dropout in the vise and yet easily take it out to feel the preload all without having to undo the QR all the time.