A very basic question?

I have a very basic question: How tight should the collet nut be tightened to properly hold a bit?

I have a King router with a single nut on the collet, and a locking pin on the router shaft. When I first started using it, I was tightening the heck out of it, to insure that the bits wouldn't come loose. Then I noticed that the top of the collet nut was beginning to deform slightly (bell-shaped), and noticed during a routine cleaning of the collet that a thread had partially stripped off, and was floating around in there.

I tried less torque on the tightening, and found that there was some burring on the bit, suggesting slippage.

So, how tight is tight enough?.... trial and error? tighter as more wood is to be removed?

Thanks in advance.