You don't need the nut, really (and its rather abnormal on Schrader valve tube) -- a lot of people just throw it away.
The point of the nut is so that the tube's stem doesn't go into the rim when you're trying to inflate the tube and the stem doesn't move around when you're trying to pump the tire. Note that the tube can only go significantly into the rim if the stem is very short relative to the rim or the tube has very low pressure -- you won't see its effects when topping up your tires.
If you're using a Presta valve in a Schrader valve rim, they sell specific grommets for a few cents to use to keep the Presta valve secure, though some people install the nut on the inside of the rim to act as the grommet.
If you want to use the nut, inflate and lightly tighten it down after inflation with your fingers (there are some other schools of thought on how to use them, but this is probably the simplest). Don't over tighten it or you'll damage the tube.