For Realz,

get a decent cog (Dura-Ace, Surly, Scrodcog, Milwaukee Bike Co., EAI, anything cnc'd rather than stamped really),
grease the threads on both the cog portion and the lockring portion of your new hub,
thread the cog on carefully,
tighten with a good chainwhip or careful application of rotafix,
get a decent lockring (STEEL, from any of the makers above, just not aluminum),
thread it on carefully,
tighten with the appropriate lockring wrench/pliers,
install the wheel in your bike,
go out and ride (hard standing acclerations can help),
check the tightness of both your cog and the lockring,
tighten either if needed,
done.

Cheers
lverhagen