In my experience welding supply houses don't want to deal with home gamers, so they try to make it as inconvenient as possible to discourage you from wasting their time.
However, if you are willing to play their game and follow a few simple "rules" your experience will be much improved.
Before you buy anything, ask a few questions.
How big of a cylinder will they sell you? I own all my cylinders, and I have a dozen or so 330 cubic foot argon and argon/co2 cylinders as well as an assortment of acetylene, oxygen, and mixes. The big cylinders cost more up front, but save serious $$ in the long run in gas. In reality I own whatever cylinder I happen to have in my possession at any given time. When I exchange them in, I am guaranteed to get one in current test and fit for service.
What are their policies regarding exchanges? My LWS does not like to fill, they strongly prefer you exchange. They'll charge a hefty premium to fill "your" cylinder and you will have to wait until they are filling that gas and that size. My LWS also will take in "orphan" cylinders for a fee. I've bought several random cylinders off craigslist or at garage sales and turned them into what I really wanted. Some places will do this, some won't.
What are the requirements for delivery or salesman service? You'd be surprised how many sales guys will take a hobby shop on. Every sale adds to their commission, and if you have a sales rep attached to your account your pricing is usually MUCH better, as they treat their accounts better than counter sales. They may be willing to sell a business different things than an individual, but some places will only require you to have a charge account to get all the pricing and service of a business. I had an charge account and a sales rep when I was 19 working out of my uncle's garage and paid the same price as the big dogs, all they wanted was me to have an account.
Counter sales customers pay the highest prices, have the least service and have the least amount of access. It's worth the time and effort to get an account. My 330 CF argon is over $150 to exchange to Joe Public, but with my sales rep and account the cost drops to like, $35 or so. I had this as a teenager with no business or company, so it never hurts to ask what it takes to get an account. I didn't even have any credit for a long time, everything was C.O.D. and I had a sales guy bringing it out to my shop in the woods.