You definitely pay for convenience, but sometimes you pay too much. That's the feeling I've had about grill propane for a long time.
I recently got three propane tanks "filled" at three different locations. The cost per gallon varied from $2.75 to $6.13. What a difference.
For illustration purposes, let's talk about exactly what it was that I was buying. A standard white bbq tank for propane is colloquially known as a "20 pound" tank, because it holds 20 pounds, or 4.6 gallons, of propane when filled to 80%. They have a tare weight of right around 18 pounds (it's stamped on the collar). Thus, a full propane tank should weigh right about 38 pounds. Substantially less and you're being shortchanged.
At the 7-Eleven in Purcellville, Amerigas charges $19.99 for a tank exchange, but the fine print says "15 pounds" instead of "20 pounds" so the tank's only 3/4 full. If you thought the tank swap tanks didn't last as long as they used to, you're right! In case you were wondering why the price at the cash register for these tanks didn't fluctuate all over the place for bottled propane even as you were reading news stories of terrible shortages last winter, now you know why. Now you're getting 3.26 gallons instead of 4.6. It's $6.13 a gallon.
Go over to the Southern States store just down the street and they'll fill your tank, and only charge you for what they put in. At $4.49/gallon, I paid $18.86 for 4.2 gallons in my tank (guess it had a little left in it). Still a bit high all things considered.
Down at CFC Farm and Home Center in Bealeton, they are a co-op and sell propane by the gallon, at a price that is below spot large delivery. How? I'm guessing they locked in their prices with futures contracts. Anyway, it was $2.75 a gallon. I had 4.5 gallons put in a tank for $12.38.
It pays to do a little shopping around and go to a place with the big white lozenge tank outside. Call first and see what they charge (probably more in the range of CFC to Southern States.