Thanks for the replies, all. I had been cranking the regulator all the way open, so it looks like no surprise that I was running through them so fast. The instructions that came with the kit from the LHBS weren't very detailed. They did tell me to keep a spare bottle on hand, so I've never been short of O2.
And I'll take the regulator off when not in use. I suspect that doesn't have so much to do with it, but fewer parts that can fail = lower probability of failure.