No you don't have to shut off the supply water before the pressure reducer. If that were the case why have a pressure reducer at all? You could just fill the system according to the reading on the pressure/temperature guage. Westminsterbergs, are you sure the PRV is the problem? Whats happening, is the pressure in the system building up to the point that the relief valve is blowing? Has anyone checked the condition of your expansion tank? Do you get your domestic hot water off the same boiler? If so you might just have a pinhole leak in the tankless coil thats slowly introducing street pressure into your heating system. In the average house the heating system pressure should be no more then 12 PSI. You have to supply more information before anyone can give you an educated answer about your problem.

The valve you are talking about is a pressure relief valve (PRV). It is a safety device to prevent WH explosions. Either the valve is bad and needs to be replaced with EXACTLY the same spec valve despite what a vest wearing know it all at a box store says... "this one fits everything". Or you have a closed plumbing system and you have a thermal expansion problem that needs to be corrected NOW. If you have a closed plumbing system, and that has been code since the 90's, there should be a small thermal expansion tank installed proximate to the WH. These tanks have a bladder that may have failed and the tank must be replaced. OR... you have a closed plumbing system and there is no thermal expansion device installed, which is not uncommon, and there needs to be one installed. In this case the PRV is acting as a thermal expansion device and it is NOT intended to. Here's some light reading on thermal expansion... http://www.watts.com/pages/learnabout/thermalExpansion.asp If this seems beyond your skill level call a plumber... and do it SOON.

Easiest is to install a pressure regulator close to the hose bib. This is common in RVs, which have to deal with different system water pressures wherever they go. You can either plumb it in permanently, or use NPT to hose adapters. Here's what you'll need: Watts N45BU ¾" water pressure reducing valve. It has ¾" female pipe threads on each end and is adjustable from 25 to 75 PSI. Home Depot stock # 111388. Price is $19.94 To adapt it to hose fittings you will also need: 1 brass male hose to ¾" MIP adapter  Watts #A-665 - $2.96 1 brass female hose to ¾" FIP swivel  Watts # A-661 - $3.64 1 brass ¾" close nipple  Watts #A-877 - $2.30 Teflon thread tape.

Installation instructions for Watts Thermal Expansion Tanks http://media.wattswater.com/2915054.pdf specifically states in #5... "The weight of the expansion tank filled with water is supported by the system piping. Therefore, it is important that, where appropriate, the piping has suitable bracing (strapping, hanger, brackets). The expansion tank may be installed vertically (preferred method) or horizontally. Caution: The tank must be properly supported in horizontal applications. This expansion tank, as all expansion tanks, may eventually leak. Do not install without adequate drainage provision".