This is one of the XXX-S shocks?
Can you tell where it is leaking from, like the cartridge at the bottom or from the upper cap? If it's the bottom, it's possible that an O-ring was torn while the shaft was inserted. I would try taking the O-rings out and checking them, or checking the plastic of the cartidge for possible problems.
If it's the first time you put this particular shock together, it's actually easy for the shaft to rip the O-rings unless you put some drops of oil on the shaft and in the cartridge beforehand. No big deal if you ripped one though since O-rings aren't too expensive...