Using your fingers, thread the new pedals into the hole in the crank arm. It is important to do this carefully, making certain that the pedals go in cleanly. That ensures that no cross-threading takes place, which will cause the pedals to go in crooked and damage both the pedal and the crank arm.
Once you've hand-tightened the new pedals, you can use a wrench to tighten them a little bit further, but it's usually not necessary to really mash down on them. Your own pedaling action will be plenty sufficient to tighten them sufficiently and also keep them from ever working loose.
