Third or fourth to setup a bottle-filler, but first to try to document it for the next guy ... achem =) ...
Step 0: attach the MFL connector to the BeerGun's connections block assembly. While it doesn't touch liquids, a lot of people still sanitize it with the rest of the parts for simplicity and surety ... hence not using gas tape, but making sure to use a proper two-wrench technique to make it tight. It won't need to be separated that I can think of ...
Step 1: think through the wrapping of gas tape such that screwing on the regulator will improve the way it lays upon itself, not antagonize it - usually clockwise, if you are looking straight at the end of the connection.
Step 2: Attach two gas lines, one with a gray keg gas connection (for the keg of beer), and the other with an MFL (for the BeerGun). I used tape for all four connections.
Step 3: Attach the regulator to the CO2 tank, again, using a pair of wrenches. Trips to the store for replacement gas suck, especially on the weekend.
Step 4: Open main valve on CO2 tank and dial-in 4-5 psi on both regulators, purging the regulator periodically while doing so to verify the actual pressure in each case.
Step 5: Note the tanks 'fill' and place off to the side for a few hours, to check back to ensure it's not leaking.