You aren't turning the regulator off, or putting the regulator knob in "off". You are, instead, adjusting the regulator knob to the zero output pressure position, that is turned counterclockwise until it is loose, or with some regulators (Milwaukee) removed entirely. That protects the regulator output gauge from being slammed with full pressure, and destroying the gauge. There are regulators which don't require this precaution, but since some do, it is best to assume yours is one that does require it.When you get your tank home , Let it sit for a couple of hours so that the tank gets to room temp , then you put on your CO2 Regulator. There is a black nob on top of tank that shuts on an off on gas tank it will be off when its fill an when you install your regulator you open it up , The nob on the regulator should be off , when you open your tank the HI psi gauge on your regulator should read 800-1000psi when the tank is full. Now "SLOWLY" open your regulator {turn nob} and the low pressure gauge you will set to you liken 10-20psi and then you adjust your needle valve at what ever your bubble count will be at the same time tweaking your regulator nob too.
http://www.aquaticplantenthusiasts.com/co2/3334-co2-how-relates-planted-aquarium.html