Dan, got any pics of the tank. If it's like a scuba tank their should be an o-ring where the valve threads in to the tank. That could be leaking. The other thing that could potentiall be a major problem is that, at least with scuba cylinders, a crack can develop at the neck of the cylinder where the threads are. It's usually visible to the naked eye before it fails. If it fails it could potentially be dangerous.
It's also possible the valve could be leaking, even if it's turned off. Have the place you get it filled at check it out. I would think they should be able to if you explain what's happening. They could put a little gas in it and then check it for leaks.
I'm trained to inspect scuba cylinders. If you can post up a pic I can tell you if it's something I can look at. If so, I'd be happy to at least give it a once over.