It only just occurred to me that the easiest way to see if you have them connected the right way round is to see where the most bubbles are generated. There should be twice as much hydrogen generated at the cathode as oxygen on your anode, so if you see more bubbles being generated on your anode you’ve got them the wrong way round.
Just for reference, my understanding is that the anode needs to be connected to the positive terminal of the power source, while the cathode is connected to the negative terminal.