For very small propane tanks, you just buy new ones. If you have an actual tank however, you can take them to places such as Home Depot or Lowe's and get them filled. No need to call ahead.
The best thing to do is to tank your empty tank off the grill and take it up to a local gas station and they will exchange it for one that is full. It will cost about twenty dollars.
You can do it either way if you want it refilled alot of gas stations will do it for you but you cannot do it yourself they have trained people. Or you can exchange it for a different but exchange costs more than refill.
i think we do both sometime we refill and some time we exchange where ever we find it cheaper we do are right down the street at a truck stop gas station type thing they are the cheapest