Go to a welding supply store, and ask for an H cylinder of USP Medical Oxygen... That's what I do. Then I buy my own cylinders new from Moore, and fill them myself. That way, there is no paper work involved. Carry the tank in something heavy duty, like a Robertshaw case, those orange plastic things. A little heavier than a bag, but safe nonetheless.
I carry a Jumbo D tank, secured to the floor of my SUV with cinch straps. That way it can't move or get thrown around, and if it does, it's secure in the case. I also have a *sticker placcard in the back window that says "Medical Oxygen On Board - 1,500PSI", and I put a star of life on it.
Most people only have a beef with whackers who carry O2, as if it is any less dangerous than something you are issued by a service... If you mishandle it, no matter where it comes from, you're screwed.