Yes, the small nut is supposed to go on first acting like a lock washer, with the big nut backing it up. I always torque with the big nut then flip flop them and lock them onto each other with two wrenches.
Once the nuts are on and torqued install your cotter pin. I have found that if I don't really bend over the cotter that it can hook weeds. Ideally you don't want to bend them that much, but figure out what works for your local waters.