I would first try testing from the regulator and cylinders with an approved liquid leak detector like
this. You may find others in your local hardware store or propane dealer. This is just an example.
"You should check all the tank and line connections periodically to be sure they are tight. When testing for leaks, a special propane liquid leak detector solution should be used. Do not use liquid soap as ammonia or chlorine in the liquid soap can damage the brass fittings. You should never use a match to look for leaks!" That's a quote from this
site with other good info on propane.
You shouldn't need to turn on any other propane applicances, just use the leak detector at the appliance since there should always be propane in the line up to that point.
As JohnDar said, you don't want to wind up in the next county. Anything other than tightening should be taken back to the dealer - with propane shut off at the tanks.