If you are REALLY worried about over penetration you could always go and buy a few sheets of 1" plywood. Depending on a lot of things I think a few sheets of that should offer some one directional protection against over penetrating buckshot. They are not too expensive and depending on the size of the tank for a couple hundred bucks you get some piece of mind.
On the other hand like others have pointed out; I might be more worried about the gas lines in your home than the tank itself and there is not a lot you can do about that.
OK HVAC Guy butting in here and taking this off topic....
Save yourself the money in the long run if you can; get rid of the electric strip heat and have an in ground propane tank installed. Kills(or doesn't kill depending on how you look at it) two birds with one stone.
You will get payback faster than you think. If you do not want to rely on the fluctuating prices of propane take a look at a Geothermal heat pump. Your local utilities might even have serious rebates or tax incentive programs available for either retrofit.