I've a Kurt Kinetic Trainer - and I actually leave the "trainer skewer" on it - nothing wrong with leaving it on. My LBS suggested it as it simplifies the process. Once I have it on the trainer and cranked it to where the tire has contact, I will crank it hard 5 or 6 more times. I've somewhat weak hands so you may not need to crank it so many times. Next I take hold of the edge of that flywheel contacts with the wheel and hold it so it doesn't move, and then I grab the wheel with the other hand and use some force to see if I can make the wheel "slip" against the trainer. You have enough tension when it has just enough tension to NOT "slip" - you don't want it to be too loose or too tight.
Does this description help? Hopefully it isn't confusing, if so please let me know and I will re-word it.