First place to check is the hose connection to the tank. Try tightening to see if it moves; note that it is a left hand thread. If it's tight, close the valve and disconnect the hose to check the fitting. The hose part should be smooth without any deep scratches or nicks. The tank fitting should have an O-ring, check for damage. If the O-ring seems dry you can smear a bit of petroleum jelly on it. Then screw it back together.
If this doesn't solve the problem, most propane places have a sniffer instrument that can locate the problem.