I didn't like how my VG devoured all my lighters either, so I made the switch to torch lighters a long time ago because they seem more efficient, are windproof, and vaporize faster. So far it's been easier for all my buddies to learn to vape for the first time with a torch lighter, rather than a candle lighter; I'm not totally sure why this is, but I give them their own bowl to practice on and explain why it's better to err on the cool side.
If you're used to using candle/cigarette lighters, it's a bit different with a torch lighter, so start from the lowest temperature again and work your way up. It might heat up FAST if you hold the flame too close, so be extra careful your first time using it.
To those who can't afford an expensive butane torch lighter: I was in your boat, but I ordered a few $4 torch lighters to try out with my VG (from eBay - they took about 3 weeks to get here but it was worth the wait). The first lighter I opened lasted me at least 4 months before it stopped lighting! I only had to refill it every couple weeks, but I was using the cheap cheap butane (won't say the brand name, but it came from a large department store), and I think that might have contributed to the lighter's demise by possibly clogging the fuel line.
Anyway, now I use a torch from Ever Tech and I use quintuple-filtered butane (which I also got on eBay).
So what I'm trying to say is that torch lighters are awesome. I can't give you a link to a cheap lighter in this post, but try to find one with a clear gas tank..searching eBay for torch lighters should get you somewhere. If you need help finding one, send me a private message.
Sorry for the rambling, I just vaped my first bowl since Thursday