Ok, quick lesson.
Anything aft of the fuel pressure regulator (fpr) is considered the return side. Anything in front of the fpr is called the pressure side.
The fuel pressure gauge goes anywhere on the pressure side. If you're using a factory fuel rail, there isn't a spot to mount a gauge, so they are usually "T'd" into the fuel line on the pressure side. Somewhere between the fuel filter and the fuel rail.
As far as where the screw and nut need to be, it's not something you'll need to worry about as far as damage is concerned. The motor won't care if the fuel pressure is too high during idle, yes it will run very rich, but the motor will run fine and no harm will come from it. Just as long as you adjust it accordingly and don't let it sit there idling wicked rich for long periods of time. If it's too lean the car motor will stumble and not idle very well, it may not even start. Again, nothing bad will come from this if you increase the fuel pressure to the proper level once it's running.
When you turn the key to ACC mode, the fuel pump should prime and you'll register fuel pressure on the gauge. Without vacuum this should be somewhere around 34 psi give or take.
When the motor is started and the vacuum line is attached to the fpr, your fuel pressure should be between 40 and 45. I had mine set at 45.
Ask any questions you have, I'll try to answer them.
Here's a typical diagram of a return type fuel system.