Thanks again; I have ordered the filters from Mr. Heater and also called their corporate office. Perhaps what I learned will be useful to others.
Lowe's does not carry the filter although they do carry the hose to attach the heater to a bar-b-que type propane tank. According to the company; fuel is left in the connector hose when you turn the heater off before you turn off the tank. The next time you start the heater after opening the hose a dose of oil can be squirted into the heater from the previous left over fuel in the hose. When you ignite the pilot light..... Well you can imagine. I did not know this and am grateful to the earlier poster for warning me. I have ordered the parts but it takes a minimum of 6 days to receive them.
In the interim, Anyone who has this type of setup can be ok if they just turn off the propane tank first and let the heater run out of fuel.

Thanks again for the tip.

Jon