Well, OldBaldGuy, from another old bald guy, the general consensus is: Don't do it. However, I have studied the subject at length and ask many questions and to make a long story short, it works, but it is a ticklish operation.

First, you need a brass adapter. There has been one on the market for several years but I don't like it. To give you an idea, it is pictured on page 441 in Cabela's Master Catalog, Fall 2005, Edition II. Costs 19.99. I don't like it because one that is made with a 90 degree angle works much better. I have one I made and it works fine but I don't know how to post a picture. If you will PM me your email address, I will send you a picture of it. It is made of readily available brass fittings. Having said that, here's the general procedure:

Be sure and do this outdoors with plenty of ventilation. Attach the adapter to a preferably full or near full twenty pound bottle. Screw the empty cylinder onto the other end.
Turn the full cylinder upside down and the empty cylinder will be screwed on the other end of the adapter. With my rig, the empty bottle will end up with the top up. Open the big cylinder and let it run for 60 seconds then shut it off. Unscrew the filled bottle. Be prepared for a rush of gas that is trapped in the adapter. I suggest you wear gloves because the escaping gas can cause frostbite. It is recommended that you chill the empty cartridge in a freezer for an hour or two to get it well chilled. Seems that it takes the propane better than a warm bottle. Another precaution is DO NOT for any reason, attempt to pull the pressure release valve that is present on all small cylinders. I have never been able to get a cylinder completely full. Try to use a propane bottle that is nearly full as using a nearly empty one will only fill until the pressure equalizes and then stop. Full tanks have greater pressure than the nearly empty ones. Another precaution is to put some soapy water on the newly filled bottle and check for leaks. They don't always seal. I would also recommend not storing refilled cylinders in an enclosed area for just that reason. You can weigh the newly filled cylinder to see just how much you put in it. Holds a pound as I remember.

DISCLAIMER: This works for me. I do not guarantee it will work for you althought it should. I don't see any particular danger as long as there is no source of ignition nearby.