Some regulators have a rubber o-ring and others don't. If you don't have a rubber o-ring you'll need a teflon washer. When you tighten down the regulator, start by hand tightening, then an additional one-half turn with a wrench will do the trick as overtightening is a recipe for more leakage.
I also pressurize my kegs to 30 psi immediately upon cleaning and sanitizing. This practice will test for leaks. If the keg is still holding pressure when you go to fill it a week or two later you can be assured it's not leaking.