first thing you should do is to make sure that your connections are tight and the flame controller knobs of your stove/burner are fully closed before trying to open the cylinder.
then slowly open (just a smal opening) the cylinder outlet valve until you'll hear a flow. by using your sense of hearing or smell, figure out if there's a leak on your connections. if you hear abnormal sound (just like punctured car tire) or smell something different, isolate the cylinder outlet immidiately and check where it's leaking. you can do that by using soap suds and a sponge. just put sufficient amount on all the hose connections. if there's a leak, you might probably see increase of soap bubbles on the spot. tighten the connection or redo it until it's leak free.
if the connection is ok, then you can switch on the ignition and control the flame.