One of the tiny things and easy to miss in buying all the big stuff?
Between all the shopping, did you get a reg that already has the CGA 320 type nipple and nut for CO2? Also you will need a washer of some type, fiber, nylon or Perma-seal that goes between the flat face of the CO2 tank and the CGA320 nipple.
These are almost always easy to pick up at a local welding gas supply place. Often around the Ten dollars range so shipping is not always worth it to try to get a small savings online. If shopping at a welding shop, I tend to NOT mention, I'm changing a reg from one gas to another as some places are a bit gun shy about letting you do that.