Tuning Benjamin Marauder. 22 Leaks through Air Gauge

Crosman changed the gauge thread type from tapered to straight a while back if I recall correctly. This may be the issue if you are using a tapered thread guage.
What does your o-ring look like in the bottom of the hole?
On a second note, are you sure you are using the Teflon tape correctly? Winding it counter-thread just cuts the tape and it will not seal. 
Third option...maybe it’s just a bad gauge. Do you have one that you can swap out and test it? Either way, cheap fix. 
 
it's not the gauge threads that are leaking, it likely the Gauge manifold O-rings, mine had a leak there and it was the Manifold O-ring was damaged from the holes in the tube, tube holes were not de-burred well, easy to test with a little bit of water around the base of the gauge and threads.... you will notice bubbles coming from the tube hole next to the threads, look real good.