I never shut down in between, it is recommended that you do. There will be dribble at the loose fitting, but not a gusher. We're only looking at 450 psi. If it's a concern, place a rag around it. You are only loosening the fitting enough to allow the relief to turn without twisting the line.
If you were running a motorized implement on the stick, or something with significant flow, we'd be checking at the stick for sure, but we'd also be using a flow meter, we're not, so we won't.
Tiny increments make decent changes.
I almost forgot. Draw a line down your relief with a paint pen. When you are done with the high side, go and put the low side where it was. Doesn't have to be perfect, just close. That way the low side is available to you in the future should you need it.