I've been tightening down the main nut THEN cranking the hexnut in the middle down to lock it in, but my friend says its supposedly done the opposite way. So who does everyone else do it?

 

Just make sure you're holding the main nut with a wrench when you crank down on the hex nut and you'll be fine. I dunno how doing it the opposite way would work, since it's the main nut the controls the lash, not the locking bolt.