I believe the idea back in the day was so lug nuts would want to screw themselves tighter if they were loose whenever you braked as a safety feature so the wheels don't fall off. In practice it isn't really effective at unless you are doing some crazy hard braking like in a race but they should never be anywhere near loose enough to start with for such a minor force to screw or unscrew them. Your wheels aren't really suppose to be holding you up through the shear force across the studs, but held by the clamping force friction between the wheel and the wheel hub.
Tutorial complete. You just have to keep those two words in mind.
If your wrench/spanner is pointed straight up to the sky like a clock hand at 12, rotate towards the back wheel to loosen, and towards the front wheel to tighten. Important! When you put the pedals back on and rotating toward the front wheel isn't working, you've grabbed the wrong pedal. Use the other one.