NO.......................
Just screw the bottle straight onto the reg. All the way.
ONLY HAND TIGHT............
The pressure in the bottle will hold it on the thread. Sounds daft, I know, but that's how it works.....
Just make sure that the 'o' ring thingy is on there between the bottle neck and the reg. If you do it right, you wont be able to see the 'o' ring once you have screwed it all the way.......