You cannot exchange Calor or most other UK cylinders in most of Europe. If you are going in the summer and not using the heating, a pair of 6kg Propane cylinders should last you at least a couple of weeks – or longer if you run the fridge from an electric hook-up. If you are considering changing cylinders abroad you will need a suitable -pigtail- or adapter to connect different cylinders to the regulator.
However, you will still have to pay the cylinder deposit and such cylinders cannot normally be exchanged once back in UK. Another option is to take Campingaz cylinders, which are available almost everywhere, with a conversion kit (caravan dealers stock these) to use as a reserve.