You cannot use teflon tape on those types of fittings. Look inside the female fitting and make sure the cone type washer is in place and appears to be in good shape. I do not know the exact size of the washer, but it looks like this:
https://www.amazon.com/Danco-Washer-.../dp/B000DZHE10
Make sure the male fitting on the water heater is clean. You can use vinegar to remove scale buildup on the male fittings. The twist-on fittings can go on finger tight and then 1/4 to 1/2 turn with pliers, just be careful not to crack the plastic.
Also, are you sure they are leaking from the screw-on connection and not the connection where the the pex is clamped onto the fitting?
SharkBite fittings are the best available, there are not too many people that will argue with that:
https://www.amazon.com/SharkBite-UC5.../dp/B00A8HSWIC