Johnzx is right. Under ley 1085/1992 to obtain a contract for the supply of bottled gas, your installation has to be approved, and then reinspected every 5 years. An approved installer can issue the certificate that will allow you to legally obtain the bottles. Even though you may just swap the bottles at the local gasolineria or elsewhere, you technically can only obtain these with a contract with the supplier (Repsol or Cepsa). I know you can just buy them at a rastro, but, in addition to being against the law, you could technically be breaching your house insurance, so if you ever had a problem it could be invalid.
To be honest, its not worth messing with gas. Repsol charge about €60 for the the installation check, and will only come with a valid appointment. Beware the conmen who know on your door.