So yea -
#1 - Don't use a CO2 regulator without a gasket.
#2 - Especially don't do it on a paintball tank
#3 - If you do and it starts rapidly off gassing, for god sakes don't try to unscrew it with your hand.
Lastly, the correct order of connection is tank adaptor to regulator, then adapter to tank, just like you'd screw in a paintball gun.
On the bright side, I now have a very cool 2-keg portable CO2 setup!