The large blade of the polarized plug is connected to a marked conductor in the cord (often ribbed).

It goes the the silver screw that is connected to the shell of the socket.

The small blade (no marking on cord) goes to the brass colored screw connected to the button in the bottom of the socket.

The idea is to prevent the screw shell from being hot since it can be more easily contacted accidentally.

Yes it really does matter. The grounded conductor or neutral is the larger blade of the plug and its' wire goes to the silver screw. The wire associated with the larger blade usually has a few small ridges on it for identification, or you can just follow it up from the plug. The ungrounded conductor or hot is the smaller blade on the plug and its' wire should be connected to the brass or gold screw.

Thanks brickeyee and groundrod,
I'm glad I asked. I probably wouldn't have thought much about it, except I was doing 2 of the same lamps and they both had the 2 different colored screws. I looked up online instructions, and no site ever mentioned this.
While I have you here.......I had a hard time finding polarized plugs anywhere and someone here suggested just buying an extension cord and cutting it. So that's what I did. It worked very well.
All those plugs that aren't polarized........do you just ignore which side of the wire goes where?
Why do they make so many lamp plugs that aren't polarized?
Is getting shocked from this pretty rare?
Thanks for your help.

Yes, getting shcoked this way is fairly rare - you have to grab the side of the light bulb while it's half out of the socket and plugged in.

Most people I know, when changing a bulb, hold onto the glass part, not the base.

Yes, with a non-polarized plug, you would ignore the screw colors.

Thanks pharkus.

If the rewiring is not done well and the wire touches the metal socket, it can give you a shock. Because of the cramped space to do the re-wiring, this is not uncommon. It's also necessary to tie what's called an Underwriter's knot in the two wires in the base of the socket so that the wires don't come lose and make contact if the cord gets pulled on. My ex-wife nearly electrocuted herself by turning off a lamp with a loose contact at the same time her other hand was in contact with a piece of metal that was grounded. Hopefully, your connection is more secure.