Yes, tighten it right down. I use a 10" adjustable wrench myself.
When you get a chance get a prop reamer, it will come in handy in the future.
This one in case you want to fly smaller than 40 size:
http://www3.towerhobbies.com/cgi-bin...&I=LXK248&P=ML
This metric one is what I use, most engines that have larger than 1/4" shafts are mostly metric.
http://www3.towerhobbies.com/cgi-bin...&I=LXEGH6&P=ML