When you say exchange, are you talking about the cage in front of some convenience stores, where you drop off an empty and take a full? Blue Rhino and PPX are the names of two places around here.
You're not locked in to that, as far as I have experienced. You could get one from there to start (I think it's either $40 or $50 for a full tank if you don't bring an empty in), and once you have it, you can have it filled wherever you want. You may want to tear off the plastic wrapper sleeve around the bottle with their name on it.
I picked up a tank someone had put on the curb on trash day (I doubt the trash man would have taken it anyhow), of course it was empty and it was the old style of bottle/valve (maybe the reason the person threw it out). I just brought it to my Lowes and exchanged it for a new, full one with the right type of valve and OPD (triangle valve wheel). Cost me $16 for the exchange. Now I have it refilled at the local hardware store for $10. The guy at the hardware store really shouldn't care who owns the tank, he is getting paid for five gallons or so of liquid propane.
Propane tanks are supposed to be cleaned and pressure tested every so often, I think it might be five years. There should be a date stamped into the top collar/handle of the tank, and whoever fills it is supposed to check the date. I figure whenever that happens I'll go right back to Lowes and exchange for a new one for another $16 (or whatever the price is four years down the line

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If I ever see another tank lying around discarded, you can bet I'll be picking it up, no matter what its age/condition. A trp to the exchange place and I'll have a new tank.
I know the exchange place doesn't have 'new' tanks, but at least they're the style that is able to be refilled. Maybe if I get a real helpful person to come to the exchange cage, I could sort through looking for one with the most recent inspection date stamp.
Good luck. Don't be afraid of the propane tank exchange system. Remember it's only a plastic sleeve on the tank with their name on it, a razor blade will take care of it.
Check the prices for a new tank without exchange at the exchange place, and compare it to the price of buying an empty tank and then having it filled somewhere.
John