How long are you holding the propane bottle in? You should be able to hear the propane moving between the tank and the mag with air moving back up to replace it.
Keep the bottle on until you can't hear the sound anymore. A good nozzle should also not be leaking any propane when you are applying the propane adapter. It will leak a bit when you remove the adapter. Feel free to also do it once or twice more to make sure it's topped up.
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