CW stations should always zero beat each other.  That means to adjust your rig's transmit frequency to exactly match the transmit frequency of the other ham you would like to talk to.  Hearing two CW stations conduct a conversation a few hundred cycles apart is a waste of frequency space, and is just QRM.

How does one zero beat another station?

Modern radios have a means to adjust the CW sidetone. Locate that control and learn how to use it.  The tone you hear when you TX is the same tone you should tune for on RX. 

It’s that simple, but many do not do it properly because they like hearing their tone at a different pitch than the station they are attempting to work or may not understand that it is important to zero beat. 

If you fail to zero beat and the other station is using a CW filter your signal is not going to be heard.  Depending on how far off their frequency you are it could be assumed you are working someone else below them, and ignored.

* Turn off the live keying of your radio (so you do not radiate and cause QRM) and send a few dits.  Hear that tone? Now, tune the station you wish to work until the two tones match.

* Another way to zero beat it turn on your wide CW filter and tune until you hear the other station. If you have dual filters, turn on the narrow one and tune until the station is heard.  Bingo, you are now on the same freq as the other station.

In a pile up DX stations will commonly run with a filter turned on so that they do not hear all the QRM.  Also, operating with a CW filter on does a lot to prevent fatigue. Spending hours on the air with 100 stations calling you is not kind to your hearing.  Always zero beat!