Do not worry too much about the amount of CO2 that leaked out into your room.
When you remove the regulator from the CO2 cylinder, each time, you must use a new nylon washer. Screwing the regulator onto the cylinder compresses the nylon washer, forming a tight seal. Compressed/used washers cannot be used again since they will not form a tight seal.
In any case, make sure you use a new nylon washer, tighten the nut by hand, and then take a suitably sized wrench to it and really tighten it.
Following this, I have never had a leak between the CO2 nut and the cylinder (other parts notwithstanding