I got that exact adapter and haven't had any issues. I went with PB cylinders because the price per oz. on CO2 refills was cheaper that way. $20+ for a 5lb swap versus $3.75 for a 20oz refill. Granted I do have to refill more often but it's not too bad.
As everyone has said, attach the blue adapter to the reg first, then screw on the cylinder.
@Oldpunk: That's pretty sweet. I got a used reg so it already had the CGA-320 otherwise that's a nice solution.