First, get it set where you want it. Roll up a rag/washcloth/old t-shirt and stuff it in between the sprocket and chain then roll the bike forward so it's wedged. Now tighten the axle nut to (check your manual) 75ft lbs. This way it won't keep losing adjustment when you tighten it.
It seems like a small thing but neglecting simple maintenance can get you killed on a motorcycle. (chain breaks, locks up rear wheel, sending newb into guard rail then into traffic where he is run over multiple times) Last bike week we had a guy and gal on a Harley die on the highway all because dude hadn't checked his tire pressure.