Your better off doing it on the negative lead as less chance of shorting the spanner out:doh:
Make sure theres not too much load on when you connect ignition/glow plugs etc or you will blow the internal fuse of the meter which depending on the meter is usually 10A.
With everything turned off and door closed you should nave no more than 50mA (0.05A), if when you first connect you have a drain I usually wait with it connected about 15-20 mins to make sure everything has shut down, if still a drain you have a problem somewhere.
Start suspecting anything that's not standard kit i.e phone or aftermarket stereo, failing that start pulling fuses while getting someone to watch the meter, remembering to make sure the door contact is closed.