I think the Anet A8 uses mk8 extruder parts. Hopefully someone here will know specifics for Amazon. I think the normal process is to screw the nozzle all the way into the heater block and then unscrew it a quarter turn. Next screw in the throat tube tight on the other side of the heater block. Then the nozzle is tightened back in that last bit of a turn to make a solid seal between the throat tube and the nozzle inside the heater block.
The other end of the throat tube screws into the bottom of the aluminium aluminium part and then is secured against the bottom of the metal carriage using the nut you mentioned.
number40Fan's comment about an extra tightening of the nozzle at temperature is also a good one as a final step. Metal parts will expand at temperature so tightening at this point will help ensure that the throat and nozzle are making good contact when heated.
Also note that there are some variations of the mk 8 parts with different hole positions etc.