How should I connect nipples to a hot water heater?
For most threaded connections, first hand-tighten and then using a wrench, tighten in quarter-turn increments.  If it leaks, give it another quarter turn.  You shouldn't need excessive force with a wrench to tighten it.

For anything other than compression fitting, use Teflon tape and/or pipe dope on the threads.

Make sure that it is not cross threaded. If you need excessive force from the beginning, there is a good chance you have cross-threaded it (assuming the correct thread type).