The allen key that came with the regulator is for tightening the joint between the regulator body and the sodastream adaptor. You might want to add another O ring in there (should be a small clear one on the outside of the hex hole in the regulator).
The trick with the allen key in the sodastream adaptor is that it controls the height of the pin. Each sodastream bottle is a little bit different so you need to find the exact height where the pin will press on the valve. Set it too high and it won't open the valve so no CO2 will come out. Set it too low and it will press on the valve too early releasing CO2 before you can get it sealed up.
It's all about finding that sweet spot, one way of doing it (if you're brave) is to put the pin as high as possible, screw the adaptor straight onto the sodastream bottle and use small allen key to tighten it until the CO2 just starts to come out.
Some valves are pretty violent though so you could be in for a shock or cold burn on your hands. It's best to lower the valve a little, fit the adaptor to the regulator and then fit the bottle to the adaptor, safely testing if the pin is low enough.