Tight in the slot. I've never heard of anyone wanting a rattling saddle.
If you can turn the guitar over and the saddle falls out it's to loose. Make it just tight enough so it won't fall out of the slot. Use your calipers to measure the slot width, get the saddle close all the way from end to end and just fine tune the saddle thickness till it fits nice and snug.
It's also vital that the saddle bottom be flat and that the saddle slot in the bridge be flat too. You'll have issues with picking up the string vibration if the saddle does not contact the bottom of the slot fully along the length.
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