My .02...
As you surmised the cabinet is the way to go. I've had my HF cabinet for 4+ years and not one problem. Wait till it's on sale for $199 and than use the 20% off coupon (you just missed the 4th of July 25% off special). You can hook up a standard shop vac (need the fine particulate filter) to it as a dust collector.
You do need a pretty strong compressor. You need to get around 10 cfm at 90 psi. Also you should get a water/oil separator in your air line if you don't have it already.
Switching between media is easy and takes maybe ten minutes. I just use empty 5 gal buckets and put 'em under the drain. Out with one media in with the other. I've used soda, coal, alum oxide. Maybe some others. They all worked with no changes.
I prefer to use coal slag aka "black beauty" to blast with. An 80lb bag runs around $40. It's lasts a long time, gets rust, paint and just about everything else off. Can etch chrome pretty easily. I get mine from Grainger but you need a corp. acct. Tractor supply places usually carry it too. When I soda blast I either get it from grainger or a local pool supply place.
Coal slag, gives the surface a nice etch but not too rough of a surface. Easy to paint or powdercoat over. Anytime I used glass bead the surface was too rough, was harder to get a smooth surface. I'm just a hack at this stuff so take that with a grain of salt.
Wear a respirator when you are doing the blasting, even though it's in a cabinet. And not to be a safety nut but no sand is safe to use in a blaster. They haven't used sand for blasting in some time.
I tried switching to a 'better' siphon gun but it really did not work any better than the HF one. Only problem is I can't find out where to get a new nozzle for the HF gun. Haven't looked to hard, but they don't carry them at HF. Maybe the manual (where is it???) gives you a way to order parts. They always give you a parts diagram with part numbers, so...
I also have a pressure blaster but rarely use it. It's such a pain in the ass. Anything that doesn't fit in my blaster I bring to someone to have done.
Good luck, any other questions just ask.