Yea, I'm familiar with the whole exchanging tanks system. . . that way you never actually "own" the tank, though - it's more on lease as I understand it. That's another benefit that you would actually own the tank. BUT you are right finding someone to fill it onsite, ontime would probably be too much of a hassle.
Good advice, GraFFix. I'll probably stick with JBJ or MILW. I think first I'll call around to welding gas suppliers first, though - it would be real nice to actually own the tank, especially that nice one!