Yep, what sasquatch said...
What I usually do is using a pair of channel locks I grip the nut, and tighten it quite a bit while spinning the rotor, to make sure it's fully seated, then back it off and turn it till it's just barely snug. Doesn't take much. Then I fiddle with the retainer till I get it to line up to get the cotter pin in. You shouldn't need to tighten or loosen the nut to get it lined up.