They need to be snug, snugger than street shoes, but not so tight that they are killing you. Put them on and stand up and walk around. Do you feel like the little bones in your feet are being smushed together, and can't flex and spread and "work" against the floor? If so, your shoes are either too small, or too narrow.
The shoes need to be snug enough at the heel so they do not slide as you dance around -- especially if you rise up onto the balls of your feet like when you dance Waltz. Your heel must stay securely in the heel cup of the shoe, and not slide up and down as you move. However, if it is cutting into your skin and/or causing you pain, then they are probably too small or too narrow.