Yeah, that is the way to proceed. But selecting the desired F-stop is something else. That action (turning the ring) should be followed by a response (smaller iris in the lens). Fact is that that doesn't happen.
I found that there are M42 lenses with an Auto/Manual lever, making it possible to work with or without the stopping down pin.
My Zenitar does not have that feature. Just a pin.
When the pin is pushed in manually (off the camera), the aperture does work properly. However there is nothing in the camera body that pushes the pin.
While trying and trying all of a sudden I pushed the pin in and it did not pop back out again.
Now what a pity that is....
... my problem is solved! Stopping down is by choosing the desired f-stop. Viewfinder gets darker then. But focus was done wide open already. Problem solved! Yay!