The way I've always done this is to nip it up gently then back it off to the first split pin position. (Note...for taper bearings!!).
It's something you get a feel for. The balance between tight and no play in the wheel. I put the wheel back on without the brake caliper and spin it to check for both.
It's important to get both bearings seated properly, and to get the slotted washer properly located on the stub.
When set, the nut is just beyond finger tight, although I have had them looser than this in the past on other cars.
If the choice is between tight or slight play, I would live with slight play at the wheel. It all depends on the available split pin positions.
That's the way I do it too. One tip I got from Kevin Vernon is to use long nose pliers like these to do up the castellated nut, that way you don't put too much torque on to it. Once it's just snug, you then back off until you get the first line up between hole and castellation. As Dave says, better a smidgeon too slack than too tight.
