Open the main tank valve ALL the way. Never operate halfway open, the valve won't seal properly that way.
Have no kegs connected.
Turn the reg all the way down (loosen, counter-clockwise) then pull the pressure relief ring on the side of the regulator. Now it's empty.
Slowly crank the regulator up (tighten, clockwise) until it reaches your intended pressure on the gauge.
Stick the quick disconnect on the keg's gas (in) post and let it stabilize. It should stay where you put it, give or take. Adjust accordingly.
It should remain there unless your keg has a higher internal pressure than you've set your regulator at. In that case, bleed your keg a bit by pulling the PRV valve.