I've got a different Hayward cartridge filter. It sounds like they're similar. I would make sure you bought the correct o ring. It could be that the diameter of the rubber on the one your purchased is too small. Also, I've found that greasing the o rings tends to cause more problems than it solves. Try cleaning the o ring off, and scrubbing any gunk or lubricant that might be inside the ridge that the ring sits in.

Also, visually inspect the locking ring that connects the two halves of the filter. If it's damaged, you might not be getting a good seal because of the damage.