Try hooking up your regulator to a tank that you know is not a problem out of the water, and then spray some soapy water (mild soap, just enough to do the trick) around on the first stage (after pressurized) to see where the leak is coming from. There should be bubbles where there is a leak.
If it is coming from where the first stage connects into the tank valve, after disconnecting, check carefully to make sure there are no major scratches where the regulator connects to the valve, and make sure there are not deposits of gum, etc. on there. If you see any deposits, clean without scratching.
If you see no scratches but you keep getting bubbles, and if you have ruled out the o-ring in the tank valve, the leak could be coming not from where the regulator connects to the tank but from inside the regulator. Time to bring it to the shop.
If it is leaking from where a hose connects to the first stage, it could just be a bad or pinched o-ring there. No big deal.