If is very easy to damage the oxygen regulator if you quickly open the oxygen tank valve with the regulator "open". You should always back off the regulator screws, when you are done using the torch.
When you turn on the system, check to make sure the regulator pressure adjusting screws are loose, and out all the way. Open the torch valve, a little.
With the oxygen bottle, barely crack open the valve, and let the pressure build slowly, until it stabilizes, about three to five seconds to build full pressure, and then open the oxygen valve fully, and seat it open. Then screw in the oxygen regulator screw until the desired torch pressure is reached. About 5 to 7 PSI, welding, 15 to 20 for cutting. Adjust pressure with the torch valve open.
For the Acetylene, turn it on the same way as the acetylene. But it is not as critical on the initial opening of the tank valve, because acetylene pressure is about 1/10 pf the oxygen pressure. There is also some controversy on how far to open the acetylene bottle valve. some say about 3/4 of a turn, so it can be closed quickly, others say to seat it open, like the oxygen tank. Contact your welding tank supplier, and ask what they recommend.
I was taught to turn off the system this way. Turn off both the oxygen and the acetylene bottles with the valve on the bottle, then open the torch valves, and bleed the regulators down to zero. Then back off the regulator adjusting screws until they are loose. Then close the torch valves.