Provided are a damper configured such that the axial play between a coil case and a case member can be eliminated without increasing a size of a solenoid, and a method of assembling the damper. An O-ring (seal member) is elastically supported by a tapered hole formed in an inner peripheral surface of a case member and a tapered shaft formed in an outer peripheral surface of a coil case, and a retaining ring is configured to receive an axial force generated by the O-ring. The configuration enables the play between the coil case and the case member of the solenoid to be eliminated. A damping force regulation mechanism, and in turn the damper, may be made more compact in comparison with a case in which the O-ring is received by the opening side end face of the case member.