My rule-of-thumb is that the lever should leave a slight mark in your palm when you close it. If the wheel creaks slightly when you pedal hard, open, then tighten the nut another 1/16 of a turn before re-closing the lever.

It *should* go without saying, but I've seen some experienced cyclists who did it wrong: to tighten a Q/R, you flip the lever open, then tighten the nut until there's no play in the skewer. Then, flip the lever closed, making sure it is oriented so that catching it on a stick cannot open it accidentally. More than once I've seen people use the lever as a wrench -- with open lever, spin the lever until the nut is tight. NO, NO, NO!!!