Are you talking about the brass standoffs that bolt through the mobo into the stamped steel stiffening plate underneath?
If so, they should be fairly tight. They should have the white plastic washer between themselves and the mobo and when they bottom out on the stiffening plate they should be tightened up just a little bit more to make sure they don't unscrew later if yo go to remove the heatsink from the board.
Are you talking about the spring-loaded Philli[ps Head screws that actually mount the heatsink to the standoffs? If so those should be tightened just to the point of coil-bind on the springs. Make sure you are tightening them up evenly in a star-shaped pattern so you keep the heatsink level an the CPU as you're bolting it down, and just keep tightening each srew slowly until you can feel the coils of the springs bind up as they are fully compressed.