We also use a hose from Coleman that works with their propane stoves, and connects directly to a 20lb tank.

This is the current version: http://www.coleman.com/coleman/colemancom/detail.asp?product_id=5470A7931T&categoryid=27400

Ours is a little older, but, essentially the same. It works fine, a little tough to regulate output as you get to where the tank is almost out of gas, but, otherwise, it saves a lot of those little cylinders.