I have a Milwaukee and it works fine. Like caribou said it will take a couple weeks for the needle valve to adjust, so you don't have to open it again and again.
I got a 10lb cylinder for $40 incl. the first filling at a local welding shop. I had to call around a little though. Cuz others wanted about $100-120 for a 5lb tank in this area. Crazy how different the pricing can be!
But get a 10lb tank if you can fit it in. You won't have to get it changed as often and I think refills are cheaper in the long run too.