The environmental seal (which I believe is what you are referring to) needs to be installed in a certain sequence, else you will trap too much air behind it.
First, loosen or remove environmental seal and retainer.
Then pressurize regulator.
While still pressurized, install environmental seal and retainer.
Then depressurize.
When you do this, you should see the seal noticeably suck inward. This is the correct idle state. If you screw the environmental seal and retainer on while depressurized, and you pressurize it, it will balloon out. This is probably why it keeps coming loose.
If you are using this on high O2 mixtures, or don't feel comfortable doing it yourself, I would recommend taking it to a regulator technician.