Probably going to be told it's the wrong way but I've always done it this way:
1. connected the positive to the dead battery
2. put the other positive in my hand and keep a hold of it the rest of the time
3. connect the negative at the dead battery
4. connect the positive (still in your hand) to the good battery
5. connect the negative to a good ground or if you HAVE to on the negative post of the good battery
The last connection should always be on the vehicle/battery being jumped, not the good vehicle/battery. If there is a reversed connection, hot shorted to ground, etc, when you make the last connection a good bit of arc welding occurs at that point and battery terminals burn up/disappear quickly. Ive seen it happen several times where somebody screwed up a multiple battery setup or had a starter cable short to ground, and can attest that the decently fat top lugs on an auto battery disappear in seconds. You dont want that to happen to YOUR battery, you want it on theirs. To answer the next question, lugs can disappear in a shower of sparks without either battery exploding or even completely discharging the good battery.
While we're on the subject of battery jumping, is there a good way to jump either to or from a GM vehicle with these little side terminals?
Ive got a set of fairly tiny jumper cables, think theyre ~12 gauge wiring with small clamps on the end, especially for this reason. I just clamp to the 8 mm hex after Ive scratched each with one clamp (at a time) to get a good connection.
