After installing the new servo, with the arm still off, and the trim on your radio centered, power up the radio system so the servos move to center. Now attach the arm for your rudder servo, getting it as close to perpindicular with the metal rod that goes to the rudder as you can. (It likely wont be perfect, but if you have the stock radio there are no sub trims so this will be close enough)
The screw adjustment you saw is used at this point to line the rudder up with the vertical fin, just as you thought. Double check that the rudder moves in the right direction (to the right, if you are standing behind the plane looking forward and moving the stick right) and you should be good to go.