The 'correct diameter' controversy is almost as charged as a metric-Imperial discussion.
A (seeming) minority of folks think the diameter is important. Initially I felt that way and wrote a program (KNURL on my page) to calculate the 'correct diameter' (there's a lot of controversy about what constitutes "correct"). I've never had a bad knurl using the program but that may be a fluke.
Most folks (including a large proportion of the oldtimers) advise mashing the knurl into the work until it 'finds' the correct diameter to give a nice knurl. Surprisingly, in my experience, this almost always works as advertised.
Whichever approach you take, use lots and lots of oil - I use sulphurated cutting oil because it's handy. Knurling is a metal displacement process so technically you're not cutting anything. However, you'll soon discover that the pressure deformation of the metal produces flaking (especially so in brass) and, unless these flakes are flushed away with oil, they will bung up the knurl.
Knurling has the potential to be very dangerous. Keep rags away from the tool while it's working. (Actually, you shouldn't ever have rags around the lathe.) An old tooth brush will keep your fingers away from the knurls. The first time the knurling tool 'eats' a tooth brush you'll understand only too well why I warn you about being extra careful.