Propane prices tend to be based on your tank size and level of consumption, and follow oil prices. If you've got a -huge- tank, and use a lot, you may be paying only a little more per amount of heat output than oil. Natural gas is still cheaper (today).
samert111's point is very true. In most cases NG can be less than half the price of propane. You can look up your local NG supplier's rates, and if you post those, along with your average propane cost, I'm sure someone here will convert those numbers into an apples to apples comparison for your exact situation, but I'm already pretty sure NG will be much cheaper.
The question is how much cheaper, and how long will it take break even on the investment of installing NG.
One thing I can say, is that many NG suppliers give a good discount to the excavation and installation costs, just to gain a new customer. They see it as an expansion of their service area, as they will continue to have a pipeline into the building, long after you no longer own it. The installation might not be viable if it's too far, but right across the street shouldn't be too horrible.