It seems to be nearly always necessary to machine it to fit the T slot in your particular lathe. Making the nut fit the T slot as fully as possible will also help against jerking a hunk out of the T slot accidentally,because it has the maximum surface bearing on the T slot.
It helps a lot to make the center of the nut T shaped as shown in the above picture. It makes the nut thicker,so it will tend to bend upwards less under pressure,which can also cause your T slot to become cracked or broken. I advise against making the T nut round as it will be exerting force on a much smaller portion of the cast iron T nut,which possibly could lead to a broken T nut. The cast iron on Asian lathes may not always be of the strongest quality,so don't tempt fate.
It is also a GOOD idea to take a chisel and damage the threads at the bottom of your T nut,so the bolt can't screw all the way through it,and start bearing down on the compound. That can erupt the T slot. I've seen a few abused old milling machines with big hunks jerked out of the T slots in their tables by operators who did not think of that. If you have a clamping set for a milling machine,look at the bottom thread in the T nuts. They will have a big nick,or some damage to keep the bolt from screwing on through and bursting out the T slot.
I hope what I wrote makes sense. I'm tired.
Edit: I just saw in the "A nice surprise on san Aloris tool post" thread,that just the "boss" was machined on a T shaped nut,leaving the bottom part in full 100% contact beneath the T slot in the lathe. I see no reason why this method would not be satisfactory. I had been envisioning making the whole nut round,which would be weaker.
