When and how tight should you adjust your clipless pedals?
Two guidelines:


If you're unclipping unexpectedly (happens most often when pulling up) then increase the tension.  That means turning the adjustment bolt clockwise to increase the spring tension.
If you're having trouble clipping in/out then loosen the tension until you can easily clip in/out when you need to.  Turn the adjustment bolt counter-clockwise to relax the spring.


If you're not having either problem, then no need to adjust at all.  If you're having both, then you'll need to choose which is more important (probably clipping in/out) and adjust for that.

(It's been a while since I used SPDs, but I think double-sided pedals have an adjustment bolt for each side -- make sure to set both the same!)