A regulator needs to go on the tank cylinder to set the flow rate you want from the tank. The regulator also has 2 guages. One displays the pressure of the tank and the other the pressure out of the supply line.
You don't need to buy a tank. Most welding supply stores will charge you a deposit for the tank (one time) and then around $8 for a 20 cu/ft charge. After the first tank, it'll simply be a swap each time you go in for refills. Hand in your empty tank and $8 and they'll give you a full tank.