The screw is NOT an on/off valve.
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My apologies, I thought it was something like this:
ok so add the adapter first then the reg? or attach the adapter to the reg and then to the tank.
OP's forgot to answer you question
If you do use one of those adapters, you connect the adapter the regulator first. Make sure you use the washer between the two. Make it as tight as you can without damaging anything. Then connect the whole thing to the paintball tank.
As oldpunk78 mentioned, the easiest way is to add the adapter to the regulator first, and then screw the whole thing into the paintball cylinder.
I would imagine some CO2 loss is inevitable, however. Just screw it on quickly, perhaps?