You're right, those AREN'T supposed to be finger tight. That will definetly cause some bad things to happen.
I don't remember the exact specs, I usually tighten them till the rotor is hard to turn, then back it off a quarter turn. If they're too tight, they'll get hot, if they're too loose.....well, you know.
After you put it back togeather, with the wheel on, grab the top and bottom of the tire and try and rock it. If you've tightened everything up and it still wobbles then you've probably got bad bearings.