For going all grain on the cheap, take a look at www.dennybrew.com
It's also easy and efficient. I used the method outlined in Palmer's book for my first 11 all-grain batches. Last weekend I followed the procedure on dennybrew.com and my efficiency increased from 70% to over 81% with less effort.
To get back to the OP, when I went all-grain I went from extract with specialty grains right to all-grain. A friend picked up a 10G Igloo cooler for $1 at a flea market and I spent about $5-10 at the hardware store on a plastic ball valve and other supplies to make a mash tun. If you already have the ability to mini-mash (an extra bucket and a paint straining bag) then go for it. Otherwise, I'd just go all grain.