Charlie, - You can get a refund from Calor, only if you have the original agreement, but I believe it is a pittance on what was paid as a deposit, not the whole amount.
Jacob, - You can refill your Calor bottle, but you need another full cylinder to do it, not neccessarily the same size, but of the same gas, plus a hose with the correct fittings either end which are not universally available, but can be got, and the knowledge to do it. For obvious reasons, legal and safety I won't go into it on here. What I can say is, personally I don't think it's any more dangerous than operating bottle and appliance under normal circumstances.
If you PM me, I can without any responsibility, point you in the right direction, on what I know, and where you can find printed information.