These are a bit tricky to snug completely. I had precisely the same problem - emptied a 10 lb tank in less than a week. This time, I used teflon tape and also took great care to make sure the fitting was tightened completely. These regulators are not like standard lab grade regs where the nut slips freely on the stem. The regulator should not move at all by hand once it it fully tightened. As Sean says, be sure to use the washer and only 1. So far, after 2 weeks of use, barely any change in the total pressure.
Bruce