Benzmac - thanks for the input. I gave it another shot last evening, more or less as you described. I soaked the o-rings in a jar of oil, and oiled both the evaporator pipes and the expansion valve. It's much improved, but still did not seal completely. My sniffer isn't finding much around the front pipes, but goes crazy on the evaporator side of the expansion valve.
I probably didn't tighten the two 3mm screws like you described. Will try that next time... As well, the guys over at aircondition.com swear by an o-ring lube/sealant by the name of Nylog. Think I'll acquire a bottle of that too.
Ever seen an expansion valve itself leak right out of the box?