To properly Purge a propane cylinder they use what's called a purge rig. They connect another propane cylinder with liquid propane to your empty cylinder. They then transfer propane gas from their cylinder to yours. They then vent the gas from your cylinder. They may do this a couple times. After the purging process they then fill your cylinder with liquid propane.
Nowadays propane cylinders are usually vacuum purged at the factory before being shipped. These vacuum purges are only good for about 6 to 12 months per my conversation with somebody at Worthington, a company that manufactures propane cylinders. However, if the vent screw on the cylinder valve is opened air will be introduced into the tank negating the vacuum purge. If the hand wheel is opened on the cylinder valve air could be introduced into the tank through the check valve.
As long as the cylinder has been vacuum purged at the factory, is under 12 months old and no one is screwed with the valve hand wheel or vent screw it should be okay to fill a new cylinder with liquid propane without purging it. Otherwise it must be purged with propane gas prior to filling with liquid propane. It's up to the individual whether they get the cylinder purged or not. However my personal bad experience with two of my cylinders that had to be emptied and then purged properly has taught me to always have new cylinders purged regardless of how much the idiot filling them insists they don't need purging.