If you screw on the regulator fitting to the tank, while the tank is still very cold, the connection will soon be loose and will leak. I find it works best to let the tank warm up in the room for a few hours before attaching the regulator. Or, retighten the nut every half hour for a couple of hours. And, of course, don't forget the seal washer.
Also, don't worry that you will over tighten that nut. You won't unless you use a 4 foot long wrench.