I have heard some people recommend not using the supplied gasket, but instead making their own out of high-temp silicone. I just use the supplied gasket because it's easier and it does the job. Whatever you do, make sure you have some sort of gasket there to prevent metal-on-metal contact and provide a seal on that seam.

Also, 2 tricks to getting the muffler tight. One is to loosen up the 2 halves of the muffler and run a bead of high-temp silicone around one of the ends, then put the 2 halves back together. This prevents leakage at the seam. Also, the screw really doesn't do a whole lot to tighten the muffler. Take a wrench and, while holding the screw tight, turn the lock nut on the back of the muffler. This seems to help a lot more than turning the screw (for some reason).