1) Many M42 lenses have a switch to change from manual to auto diaphragm. If yours has one, then set it to manual for the diaphragm to close properly.
2) Using extension tubes with a purely manual diaphragm really is a PITA! It's worth getting some with the "pin".
3) The longer the tube, the more the exposure has to be compensated. Others will give you the exact formulas for that, though if your camera has a through the lens meter, you don't need to compensate (the meter "sees" the actual light coming through).