As long as the thread does not leak, there is no need to check into specialty tape.
If you want, you can get those yellow teflon tape for gas pipe (natural gas), but I doubt that it will make much difference... maybe 5 more sec. out of that 10 lb. cylinder???
Yeah, most co2 fittings are flared to seal when you tighten them down. If they aren't sealing, you might have a mis-matched set, or a ding in either the nipple or recepticle. Take a close look, you may have to replace one or the other.
If you're using teflon tape, use the stuff that's for gas lines. (just like loule said.)
you shouldent use tape to make the seal between the regulator and the tank, when they refill my tank they always give me a new washer to install between the regulator and the tank, make sure to get a nice tite seal.
I agree - sorry if my comment caused some confusion. Just to clarify - normally you would use a thread sealant (liquid, tape, etc.) on a pipe-thread fitting. A thread sealant shouldn't be necessary for a flared-thread fitting (as mentioned above).