If you can carry one of the larger tanks - like are used on bbqs - the cost per gallon is a lot less than the cost of those small green cylinders.
If you can get your own tank refilled at a propane place, it will be cheaper than exchanging tanks at a gas station or convenience store. (Those exchange tanks are almost never full, btw. A standard bbq tank holds 20 lbs of propane, the exchange tanks usually have 15 lbs in them. They say so right on the label in small print.) The only thing the exchange tanks have going for them is convenience.
You need a GOOD propane hose. Cheap hoses had some kind of plasticizer that went into solution with the propane flowing through it. It worked ok for stoves and lanterns, but the chemical messed with the catalyst on catalytic heaters and caused them to fail. This became such an issue with the Mr. Buddy heaters that they came up with a fuel filter to go between the hose and the heater.
Finally, even with a GOOD hose, think of it as an expendable item and plan to replace it every few years.
Regards
John