Before putting the regulator into the coupling on the cylinder, check the mating faces on the cylinder and the regulator for damage (dents and scratches) and contamination. If there are any scratches running outwards, the regulator will never seal completely. If all is well, open the cylinder valve slightly and briefly to allow a puff of gas to blow out any dust or debris from the valve side, before fitting the regulator and nipping up the nut with a spanner. As Parm said, not too tight.
Taking regulators on and off shouldn't be a bad thing, though the space between cylinder valve and regulator mechanism will need to be purged each time the regulator is refitted, using up a bit more gas.