Since you specifically asked about exchange I'll assume you don't have your own, which if you did, I'd say call ahead to see if they fill or exchange so you don't loose a nice tank.
Both Airgas and Middlesex have a bunch of locations, as does Abco.
There is a place across the street (front gate, gate 3) from Gillette (not the stadium) in Boston. Do a search for welding supplies or industrial supplies/gasses.
There are a bunch of places in the area. You have plenty of options to shop around.
I usually feel kind of guilty using the quick reply... my replies are rarely quick.