How to wire screw type banana jacks
As the data says it mates with a "standard banana". Standard is 4mm. 

Something like this: 



Or this: 



Not this (but perhaps you can see the resemblance in the springy bits): 



The part you have (female) is just a hollow tube with no springy parts, so it depends on the male to supply the compliance. Some plugs have a cross-drilled hole so another banana plug can be inserted sideways. 

The screw and nuts are to fasten onto a ring terminal or onto a through-hole PCB. In the case of the PCB, a toothed lockwasher is a good idea. In the case of the terminal, a toothed "star" terminal can be used (photo from here). 



You drill a hole as the datasheet shows and attach the jack to a panel with the large nut. 



The datasheet indicates that the jack also accepts shrouded plugs (insulated on the outside of the metal and often with plastic at the end so that a human finger cannot contact the metal). This is commonly used on the meter end of test leads.