The saddle should be a nice snug fit in its slot in the bridge.
If it is too loose there can be real problems if it tips forward under the tension of the strings and so shortens the actual scale length of the guitar and so causes intonation problems. If this is the case it should be replaced with one which is a better fit.
On the other hand it can be too tight and is very difficult to remove when you want to adjust its height in order to adjust the action of the guitar. If you can, you should remove it by pushing carefully at one end with another saddle. If it resists this then you may have to hit the second saddle with a mallet – I use a rubber mallet as this is a very dangerous procedure – in order to move the over-tight saddle.
Fortunately, once you have it out, it is a straightforward job to make it a better fit. Simply put a sheet of sandpaper on a flat surface and then rub the saddle in a circular movement around on the sandpaper. Be sure to press down on the saddle in such a way as to have even downward force along its entire length. Make 20 rotations, then test it in its slot. If it is not yet a good fit then try another 20. Do it stepwise like this and you should not over thin it and so go from the annoying problem of an over-tight saddle to the musically serious problem of an over loose one.