Setting up Proper Post Links

[officiallyhiphop]

When I write a post, I usually have a few categories. So let's say I wrote a review over "Heartless". I would check the following categories: Kanye West, Music Review, Featured (to appear in the Featured Content Plugin).

But most of the time instead of making a link like this: officallyhiphop.com/k/kanye_west/heartless (like I want),
It will make a link like this: officiallyhiphop.com/music_review/heartless, using the Music Review category instead of the Kanye West category. How does Wordpress actually choose which category will be in the link?

I'm only asking this because I want to make sure I set up my links properly now, so in the future I don't have any issues. Am I indeed categorizing my posts correctly, or am I missing out on using tags?