Kegging for first time and read that they recommend Teflon tape between reg and keg hookup. Is this a big deal? I was just going to connect it to seal the keg.
You mean the rgulator and co2 bottle? I know people do that, but I don't see why. With the proper seals, there is no need for tape. In fact, IMHO if you need tape to stop a leak there you have something wrong.
Gas cylinders use a type of threading called CGA, you don't want to tape a CGA fitting. The seal isn't created by the threads (like it is with NPT) so any tape will actually interfere with a proper seal.