Optimally the Black wire should go to the live (hot) wire in the box and the blue wire should go to the load. If you connect it the other way around it will probably still work, but it might not be quite as reliable. Even connected properly the dimmer wall switches are the least reliable of the X10 brand of modules since there is no neutral wire connection. The fact that there isn't a ground wire connection doesn't matter since the metal plate is electrically isolated.
