The numbers should be spaced apart evenly to increase the probability of getting the numbers you want. You don't want to be stuck in a situation where only one specific number will work for you.

Thus it makes sense to spread out the numbers. The ideal top left corner is 1. The ideal bottom right corner is 20. That's a no-brainer.

Then the ideal diagonal (top-left to bottom right) is 1, 7, 14, 20.

The ideal other diagonal is 11, 11, 11, 11.

The ideal first row is 1, 4, 7, 11 and so on, and so forth.

Just keep this grid in your mind, and keep filling the numbers as they come.

Be careful to keep a watchful eye on your opponents what they want, and try and deny it to the extent possible.

Don't be afraid to replace your own pieces, when necessary. For instance, if you start with 1, 13, 14, 20 on the diagonal, you know you'll have to replace the 13 or 14 eventually (since there's no number that fits between them). The best would be to replace the 13 with something like a 6, 7 or 8, so if you get the chance to do this, take it as soon as possible to give yourself more options for future moves.