I did the same thing. I called my local HD and Lowes and was told by both that they did not carry oxygen tanks. I did not believe them and went down to the HD to look for myself. Low and behold, in the soldering section where you can by the torches, was a case of individual disposable O2 cylinders ($7.59 ea). The moral of the story is don't believe the moron on the end of the line when you call HD or Lowes.
Also, just about every mom and pop hardware store should carry them too. At least around here they do, albiet for about $2 more than HD.