I work for a coaxial connector manufacturer, so here's a word of caution when playing with these antenna connections (skip ahead to the last paragraph if you don't want the history and engineering lesson).
The connector interfaces on most wireless antennas are what is known as a "Reverse Polarity SMA" connector ("RP-SMA" for short). Way back when, the normal SMA connector was designed and adopted as a standardized interface. The SMA plug (the part with the hex coupling nut and 'male' contact pin) came in two flavors: thick wall (for brass construction) and thin wall (for stainless steel construction).
The RP-SMA has the center contact genders reversed from a normal SMA, so the 'female' center contact is now in the plug. Due to geometries required for proper coax line transmission, RP-SMA plugs can only be build using the thin wall SMA body design. However, many manufacturers still make the bodies out of brass instead of stainless steel, like it was intended to be. The result is that when the hex coupling nut is torqued down on a brass bodied RP-SMA, especially with a wrench, the connector body is crushed slightly and results in what are known as "insertion loss suck-outs", or very narrow frequency bands in which your signal is escaping the coax line. Whether this is a problem depends on the extent of the crushing and the transmission frequency of the system.
When mating these connectors, despite them having hex coupling nuts, do not wrench tighten them, only hand tighten them. A hand tightened RP-SMA will still have good signal integrity at any frequency used for a consumer product, and it is very unlikely that you will be strong enough to damage them. The opposite is true with the Type-F connectors found on cable box connections; always wrench tighten those, the number one cause of poor cable TV reception is a loose connector.
~Chris