Like Stevie C said, go to BOC Gases for a large CO2 tank (I found size 'LB' was the most cost effective for myself and a few mates). Make sure you get 'liquid withdrawal' tanks (they have a white stripe painted down the side) rather than 'gas withdrawal' because itll last for far longer (basically it has a tube in it that brings the liquid CO2 up instead of gaseous CO2).
The basic cost of hiring a CO2 tank is as follows (correct as of last time I got a fill!)
Hire of CO2 cylinder: £~40 per year
Refill of CO2 cylinder: £~20 (£10 to fill, £10 'service charge')
Each cylinder should give at least 20 fills to a 12oz tank...
Then buy a CO2 fill station. They're quite expensive but a neccessary cost. You should probably buy a set of digital scales (£10 from Argos) so you can check how full you are filling your tanks (obviously a 12oz fills to 12oz, 20oz to 20 etc etc etc). If you overfill them you run the risk of blowing a 'burst-disk' and these can be a pain to replace if you dont know what you're doing).
Buy a load of CO2 bottle o-rings, they'll be what you need to replace most. Ebay do 100 for a fiver or something.
Apart from that you're all good. While insured sites are the way to go, and the way that most people will advise you, playing in your backgarden etc is far cheaper and far easier than going to a site. Rosie I agree with your sentiment that all it takes is one person to **** around and get everyone in trouble, but in my opinion the amount of hassle it takes to get all this stuff sorted kinda cuts out the 'neds' from doing it, as you really have to be serious and willing to put out the cash and effort to get things going.
I cant stress highly enough how important it is to think about what you're doing too. Its all too easy to forget about masks, forget about safety catches or barrelbungs/condoms. Its all to easy to forget you're using a dangerous gas (I think an increase of just 18% of CO2 in an enclosed spaces atmosphere (I.e. your bedroom) is enough to asphyxiate you). Its all too easy to forget about other people using your land.
But that said, be safe and have fun!!
) but surley i would be the stereotypical type of person to abuse guns? then, if planet refused to fill my bottle, i wouldnt be best pleased...