DO NOT PUT AN OIL FILTER ON WITHOUT PUTTING OIL ON THE GASKET. Thats how you blow all the oil out of your engine and seize it. It might not do it the first time, but it will eventually.
Filling the filter with oil isn't necessary as it only takes a second to fill it and start pumping oil to the rest of the vehicle, but there is nothing wrong with it either.
Also, make absolutely sure you remove the old gasket before installing the new filter, otherwise you WILL blow all the oil out and seize your engine.
Perhaps I didn't make myself clear. As long as the filter doesn't unscrew with two fingers, its fine. The problem with the word loose, your loose and mine are two different things.
Try this next time you change your oil. Tighten the filter until the gasket touches the block, then turn the filter 1/2 to 3/4ths of a revolution, no more. Those are the two most common numbers from filter manufacturers for tightening on heavy duty vehicles. (heavy duty vehicles like semis and off road equipment can have filters 10 times the size of an automotive filter, and just going until its tight isn't good enough on those. Instead filter manufactures look at the thread pitch on the filter, and measure the amount of turning past first contact required to get proper compression on the gasket. I talked to the Purolator filter rep a few years back when we switched to them from valvoline, and all of their filters are designed to be turned 1/2 to 3/4 past first contact and thats standard for the industry unless otherwise marked on the filter.)