When I start to screw on my tank, it sounds like the co2 is escaping someware in the gun but when its all the way on the noise stops, am I leaking someware, or is it OK?

Its probably OK , but you need to cock the gun before your thread it on. If you have a cocking knob, if not your gun may have an on/off valve. Turn it to the off position before you screw the tank in, and then back on after its screwed all the way on.

As for a problem , unless it keeps leaking or you notice the paint droping off I wouldn't worry about that.