They are right. Saving money isn't what filling your own bottles is all about. For example, for a heavily used gasoline portable compressor costs are somewhere in the neighborhood of $3 per fill.
$3090 - Compressor (about $ .50-.75 per fill wear and tear)6.33
$ 60 - Filter (good for about 45 fills so $1.33 per fill)2.40
$6.70 - Oil change ( about $ .05 per fill).27
Gasoline and oil for engine - about $ .77 (based on $2.50 per gallon for gas)
However, if you pump less than 100 tanks per year, the compressor cost goes up exponentially since lack of use is almost as damaging to one of these little guys as use is. A diver that only does say 25 fills per year will raise the cost to about $ 9.77 per fill.
No ... filling your own cylinders is more for convenience, peace of mind (knowing the quality of your air), getting a full fill, etc. Money isn't really a factor.