It is indeed known the correct method of assembly for a nozzle/hot end/heat break/heat sink.

In order to ensure that the heat break is properly sealed to the nozzle, the nozzle should be threaded into the heater block, leaving about 0.5 to 1.0 mm gap under the nozzle head. The heat break is then threaded until it contacts the nozzle. With that in place, the heat sink is attached. You may find recommendation to apply thermal grease (lightly) to the heat break portion that threads into the heat sink.

With the assembly secured, heat the block to 260-280 °C and re-tighten the nozzle against the heat break. Use caution to avoid damaging the wiring for the heater core and thermistor.