With a traditional seat/crimp die (like you'll be using) this is how it goes:
Identify the load you want in a load manual (ideally several). The load manual should also indicate an overall length (OAL) for that particular bullet.
With a resized, primed, belled, and charged case in the shellholder, completely raise the ram. Now screw the seat/crimp die into the press. Eventually the crimping band in the die will make contact with the case mouth and you'll feel resistance. Back the die off 1/2 a turn or so and lock it down.
Now lower the ram and back the die's seating stem out a ways. Place the bullet on the case mouth, raise the ram to seat the bullet. Measure the cartridge for OAL with your calipers. Gradually screw the seating stem inwards and raise the ram again as needed until the correct OAL is achieved. With the correct OAL achieved, back the seating stem way out. Proper OAL may be dictated by a cannelure (groove) in the bullet into which the case mouth is rolled for crimping.
Now begin screwing the entire die body inwards. You can do this in maybe 1/4 turns, running the same cartridge used above into the die each time. The farther you screw the die in, the harder the crimp. As your screw the die in, you'll see the case mouth begin to get rolled into the bullet's cannelure. This is the role crimp that you're looking for. You can, of course, apply too much crimp by screwing the die body in too much -- this will be obvious in that it will deform the case. Once you're satisfied with the roll crimp (a solid crimp that rolls the case mouth in the bullet's cannelure but doesn't deform the case or bullet), you'll want to fix the setting of the die body -- that is, tighten the set screw on the lock ring. Then raise the cartridge into the die body one last time. With the ram raised, screw the seating stem in until it touches the bullet. Fix the setting on the seating stem, and you'll have a properly adjusted die.
Once you've got the die set properly, you needn't worry about it. The issue with the 500 S&W is that there's so much recoil, without a good crimp the non-firing rounds could get pulled apart under recoil. But again, there's no black magic about roll crimping.