This is a topic close to my heart as I hate throwing money down the drain and have gone through 2 gas bottles in about 10 kegs.
Leak 1 - on the Keg King HP guage
Leak 2 - on the washer where the bottle screws on (something changed when the weather warmed up)
Leak 3 - on the (KK) gas line at the barb on the regulator. Perished and cracked, very hard to spot, depleted the gas over about 2 days.
Leak 4 - on a SS gas disconnect which unscrewed slightly due to a poor fit on a bent post
Leak 5 - split post o-ring
Leak 6 - Invisible crack on a Chinese gas disconnect which could only be detected underwater. This also dropped the gas in about 5 days.
'Leak' 7 - keg lid for some reason bypassed the o-ring and de-carbed the keg, oxidising the remaining beer in the process. Lucky I didn't have it hooked up.
I've had a lot of bad luck but if you've followed my brewing misadventures you'll realise that's how I roll. I've decided I don't want to buy KK products because I haven't had any luck with them in the past.
Underwater test like Kev said really is the best way to go. Do it to all threaded joins, plastic items and barbs. Where you can't dunk something do the spray test like you said, but do it when it's quiet because sometimes you'll hear it bubbling and it won't be obvious to look at.