Adamantium has the advice-- load that bullet to the cannelure and give it a solid or even HEAVY roll crimp. This is pretty key in a large magnum round like the .44 Mag. You need that crimp for a couple of reasons and that's why the bullet comes with a cannelure.
I will agree when he says that COAL isn't always critical but I will add that when using very small capacity and high pressure cases, most often in semi-auto pistol rounds, it becomes much more important and in some cases, critical. Paying close attention to COAL in 9mm and .40 S&W in particular is a good habit to get in to.
In my opinion, what is critical is that you keep good notes about where you set COAL so you can repeat it later. But in a heavy magnum revolver, your best bet is going to be at the cannelure, and give it a solid roll crimp.
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