Once you have the line fixed to the screw, it need to hold position without slipping to operate the rudder properly. It's been several years since I took this pic, but as I recall, there is a second hole (or holes) beneath the screw head. You run the rudder line through the lower hole, out the top, back in the other top hole and out the lower hole. The way you get the loop to route under the entry / exit line is to pull the top line segment loose enough to pass under the unfastened screw and over to the reverse side, then pull all the slack out. When installing, rather than turn the screw, spin the knob, then lock it in position with the nut that was previously threaded on the screw (shown in picture), thereby fixing it in place.
This locks the line. By turning the screw / knob, line tension is achieved by wrapping around the screw shaft. If you have another way to secure the line to the screw without slipping, that will work -- you just won't be able to adjust line tension with the knob. You can, however, adjust the tension where the lines are secured at the steering drum.
An alternate way of doing this (I think -- haven't tried it) would be to have two separate steering lines, each tied off at the adjustment screw and the steering drum.