Always have the filter in, even air refills can be dirty.
If the new o-ring you placed on the reg is not working, i suggest cleaning and lubing the reg (even if it doesn't sort out the leak it will improve consistency). If that fails, chuck a bottle o-ring onto the reg, which i think is slightly bigger.
If your reg feels lose when screwed onto the gun, deffinately chuck a bottle o-ring on even if the leak has stopped.
Dan.