For this step you will want a variac or some way to limit the mains current. You might want to put a lamp in series with the hot wire to the transformer (are you sure you're comfortable working with mains electricity?)

Connect everything up as you did in step 1, being sure to make sure the earth connection is good, and adding a light bulb in series if you need to. Connect nothing to the secondary. In fact, make sure the leads are well out of the way!

If you're using a Variac, ramp the voltage up slowly. There should be no significant increase in current, compared to what you measured in step 1. The same goes for the lamp. It shouldn't light and there should be no significant current flowing.

If there is, stop. Something is wrong! I've never had this but it means there is a short circuit somewhere. It could be a crossed winding on the secondary (these are new transformers you've got, right?) or a short from the primary winding to the iron core. If that has happened, the transformer is probably unsafe to use!

If there were no major problems in the previous step, you can wire up the transformer with the bridge rectifier and capacitor.

The output of the circuit will be about 250V DC and ramp up slowly to over 300V DC. Make sure you put the test probe on your multimeter back to the voltage input! A nasty bang and a blown fuse or multimeter might result if you test the voltage on the current (amps) setting.

I hope the rest of your vacuum tube experiments don't bite!