Jason--
Assuming you don't have or always use your own tanks -- and you have to rinse or dunk or soak your first stage off the tank -- the rubber cap you got with your first stage is better than nothing... but I think you're right... it will probably allow water to seep past the threads eventually during a soak of any length.
If you're dunking the first stage with that kind of cap, I'd say it would be safer to take the cap off and just hold your thumb over the orifice while you dunk it... then be careful to dry around the orifice and threads (and inside the cap) before replacing the cap.
If you're looking for a replacement watertight cap, you need to carefully check how it's designed. Many cheap screw-on delrin caps, with a flat "bottom" inside the cap, don't seal either... and would be worse than your rubber cap.
The kind of cap you probably want is one that has a circular "pit" inside the bottom of the cap, into which the central flange of your DIN fitting's orifice fits. That will allow the fitting's o-ring to (theoretically at least) seal against the permeter of the bottom of the cap. AquaLung makes one like that; don't know about others.
See diagram below -- drawn from memory, so I apologize for inaccuracies... but you get the idea.
Edit: Looking at my phrase "theoretically at least" above, even with a cap like this, it would probably still be best to hold your thumb over the orifice while dunking.
--Marek