First make sure the diaper is not too lose and that you run your fingers around the leg gathers to be sure that you've pulled them out.
Put the diaper on your newborn tight enough but not too tight. You should be able to get 2 fingers under the waistband of the diaper easily.
If your newborn still leaks through his/her diapers then you might need to move up to the next size diaper which is like a size 1.
Babies come in all shapes and sizes so you might have to try a different size and see if the bigger diaper size works better.
You'll need the bigger diapers anyway so it won't be a waste to buy the next size up to see if it stops the leak.
If it doesn't you might have to switch diaper brands.
If you're not using Luvs diapers already you might want to try out some Luvs diapers on your baby as I find they work really well at stopping diaper leaks.