Does it leak at the location where the valve attaches? Or does it leak from the jet.

- In the first case, check o-ring and if the lenght of the pin (the thing that pushes at the canister valve, is the correct lenght. Too long and you won't engage the o-ring. Too short and it won't open the valve. (tolerance issue with cheap stuff).
- In the last case, make sure the valve is turned off before screwing on the stove.