For what it's worth, I clamp about half the width of the knurls on the end of the stock, hard enough to make some impression, then start the lathe running and traverse the knurls along and back using the leadscrew handwheel, clamping up a bit more each time I get back to the half-engaged start point. After the first pass, I stop the lathe to see if the pattern looks right. As Gray says, sometimes the diameter of the stock is such that the knurls "double", producing a pattern twice as fine as I want. The only remedy for that seems to be to turm a few thou off the stock and try again.
If the first pass looks OK, I continue to and fro, clamping the knurls a bit deeper each time until the depth looks right. It's as well not to go too deep; this can result in sharp points on the pattern, making the finished job uncomfortable to grip.
Use plenty of lubrication. It does no harm to stop part-way though and brush off some of the debris. On my lathe at least, it seems best to angle the shank of the knurling tool 4 or 5 degrees towards the headstock, rather than having it exactly perpendicular to the work.
Andy