Well im not familar with this particular brand of regulator so i am no expert, as far as i am aware you do NOT use any teflon tape anywhere on the regulator (i think this applies to any co2 regulator)
If you look at the main nut at the back of the regulator this should contain a seal (in Europe they are a disc shape usually made of acrylic) and this is where the main connection will be made, you should ensure the seal is in good shape, this is more than likely where you were leaking the co2, you should first of all check the seal is in good condition before you hook up the new cylinder, tighten accordingly and then the next day (and this is important) check that the nut is still sufficiently tight with a wrench (ive read you need to do this when hooking up new cylinders because of temprature flucuations etc) you can then check the seals with Windex (i think its the US equivelent of windolene) you spray this around all the seals particularily the main connection to the co2 cylinder and check for leaks, but you check all seals for leaks, where the co2 line is hooked up etc. Also check around the bubble counter on these for leaks also, i have read they can be problematic sometimes.
You definatly had a leak, a 5lb co2 cylinder should last at least a year or longer on a 29 gallon tank being run with a solenoid.
Just double check you dont have a leak with washing up liquid and a little water if you dont have windex (the windex isnt important its just something a lot of people use to check for leaks, the soapy water will do just fine) the leak probably caused the regulator to become unstable and was probably at the root of most of your problems to begin with, i would just chalk it down to experience and be a bit more methodical with the next co2 cylinder, once you know you are not leaking co2 you should be ok............best of luck with the refill.