check the tapered cone/nipple on the regulator.... it does NOT seal by the threads, but by the cone and cup of the nipple and valve.
the slightest ding or dent in the cone will cause it to leak. its not the dent that leaks, but when the regulator gets dropped too hard and the nipple gets dented, the dent is only the visible depression left from the displaced metal that raises around the dent.... and its the slightly raised metal that will hold it off the proper seating position.
it can be repaired by lubing it and then using the wrench to hold the nut where the cone (nipple) is snug, but not tight against the cup (seat), and then rotating the regulater back and forth to "polish" the high spot down and re-create a seal... like lapping a valve in an engine. after doing this for a minute, you will be able to remove the fitting and inspect it for high spots. you will see where the damage is because it will be taking the most friction and be the shiniest. keep doing it until it looks even all the way around the cone and is seating fully.
if it is severe, a bit of valve lapping compound will cut it faster (clean it good afterwards)..... or you can replace the cone nipple entirely....
make sure its the seat and not a faulty regulator or leaky threads where it screws into the regulator....
if the cone has a groove cut around it, then an o-ring would help, but the cone and cup is supposed to seal without the help of the o-ring. the addition of the o-ring on some cones was invented by someone who thought it would be convenient to be able to make a hand tight seal, rather than using wrenches, but the cone and cup is still the standard and should seal even when the o-ring degrades or becomes lost....