This is what works the best for me:
Clamp the end of the plunger in the bench vise, then pull the body against it with one hand while unscrewing the head with the other hand. Let the body back just a little, until there is 1/8 or 3/16 of grease protruding; then screw the head back on a few turns. Once the threads are fully engaged, release the body and finish screwing it on against the pressure from the plunger. You'll get a little grease leaking (but not much), so wipe it away with a paper towel. A half dozen strokes should get grease coming out from the coupler.
The other trick is, once you've finished using it, pull the plunger back and lock it (like you were going to refill the gun), then hang it by the plunger (or otherwise support it head-down). That avoids having the grease leak past the piston
Maybe it's just my gun, but that air bleed valve doesn't seem to accomplish much.