The first thing you should do when you set up is ensure a correct grip. This is the only way to create consistency in your swing. If you skip making sure you have a correct grip, you might fix something that isn't broken.
The shaft fits diagonally in your fingers and the heel pad folds on top of the grip. The thumb is slightly to the side and here's why.
Bend forward and let your arms hang. This is how your left arm should be at impact. Your left hand grips where it naturally hangs so that momentum squares the face at impact.
Fewer than 2 or 3 people I have worked with have had a correct grip. A correct grip is one that fits you and your body. Everything in golf is done with your hands so having a correct grip is critical.