I've been exchanging bottles for years, and never have a problem. The reason I've been doing exchanges over fills is simple... the local propane places will be happy to fill bottles, but want a 250 gallon/year contract. The U-haul places tend to not have someone who is trained (so they say, but I suspect otherwise.) Which leaves the RV dealers and CGs, and usually by the time I'm leaving work, the store part tends to be closed for the night.
The ironic thing is the place where it got nicked was a place I normally don't bother going for propane refills.
The solution will be to just keep the cylinders in my truck and then go fetch them. I stopped doing that when I noticed that it did waste the clerk's time. That, and doing my exchanges in a rural part of the state.
