As many have said, it varies great depending on where you live. One important aspect of getting "used" cylinders is that a great many gas suppliers these days will look at the last hydraulic water pressure test that was performed on the cylinders to ensure that they are still in spec. The pressure test date is usually stamped on the neck of the cylinder. Assuming that the pressure test is within the allowed timeframe, then there should be no issues getting your own cylinders refilled. Problem is you will have to wait a few days for your cylinders to get refilled.
Alternatively if they are out of spec, it behooves you to trade them in for a replacement set from the dealer -- that's were it becomes often a sticky situation, because it's at that point that many suppliers will ask for receipt of ownership. The good news is that once you do establish a good relationship with a gas supplier, they will take pretty much anything from you, no questions asked.
BTW -- in my area, the suppliers will take smaller MC series (porta=pack) cylinders no matter what -- no questions asked.