You guys scare me. Unless something has changed in the past you should always put some type of loctite onto the threads of the regulator before you screw it back into the tank.
The reason is because as the poster said above when the tank is pressurized it is hard to remove from the gun. It is entirely possible to accidentally start unscrewing the reg from the tank instead of the gun. The threads on most regulators are pretty long so hopefully any experienced paintball player would notice but i've been there when a reg blew off of a tank and exploded that last half inch of threads off.
Tanks used to have loctite red on them. Again, i'm older and haven't been part of the scene in a little while.
Also to the poster above that said the loctite will get into your gun and cause problems... just let it dry overnight before you shoot it if your concerned. It really only takes a few minutes.