I finally went to the Mythbusters site and copied this. If I remember right they were at least in one episode working with the 20# grill sized tanks, which are much thinner than the larger steel bulk tanks.
A person can shoot a propane tank and make it explode.
First, the Build Team decided to test whether it was possible to breach a propane tank with Bond’s 9mm handgun. They found that 9mm rounds were not powerful enough to breach the tank, but shotgun shells and .30 caliber rifle rounds were more than enough to pierce the tank. They then fired armor piercing rifle rounds at a tank filled with propane, but could not get the tank to explode. Not even tracer rounds were successful. Finally, the Build Team resorted to extreme measures. They found that the only sure way to make a propane tank explode was to use high explosive or a high powered Gatling gun firing incendiary rounds. The Build Team concluded that Bond (and most people) would not normally have access to such weaponry, busting the myth.