Battery Terminal Nuts Driving Me "Nuts"

If you are using actual battery terminal nuts like in the photo 67Dart273 posted, he's right, the round end goes toward the clamp. The nut in your photo looks like a nylock, not a battery terminal nut.
One more thing... sometimes people end up with loose terminals, even though the nut is as tight as possible... that's usually caused by not installing the terminal as far down on the tapered battery post as possible. The top of the battery post should be slightly proud of the top surface of the battery terminal, or at least flush. I mention this because in the original post, that terminal is not on the post far enough, which can make tightening difficult.