Not sure about using non aviation cylinders, but have used Mountain High systems before. The bottles are much lighter than your typical O2 bottle, and pressure rated to high altitudes. The regulator they sell meters he O2 based on your altitude.
Downside of your own bottle is big gas companies (mainly Supagas and BOC) won't touch them, and fair enough, they want to know what condition the bottles are in and control the maintenance. Can't imagine exploding O2 bottles are much fun. Best place I've found to get them filled is scuba repair centres which normally have Dry Breathing Oxygen available. This is different to medical grade, but I'm not sure if the cylinder impacts that. There's one in Moorabbin, Levanswell Rd.
As for connectors I'm not sure, but the place i get O2 at initially had trouble with the MH bottle I had. Took about 15 min to get a connector that worked.
Hope that helps.