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Moving to All Grain
A 48 qt cooler is more than big enough for pretty much any 5 gallon batch of beer. You can mash about 30 lbs of grain in one of these just fine. This should also work fine for most 10 gallon batches, but a larger cooler may be a good investment if you might do 10 gallon batches.
Since you are talking about batch sparging, the design of your mash/lauter tun aren't as important. I used a braided stainless steel wrap from a bathroom faucet hose, a nylon T fitting, some vinyl tubing, and a PVC ball valve. I put a short lenght of 3/8 tubing through the existing drain on the cooler and put the T fitting on the inside of the cooler into the tubing. When I put the tubing with the T fitting in the drain, it was a perfect fit, and I have never had a leak. I then made a look with the stainless braid and used some hose clamps to attach this to the T fitting. A loop isn't necessary, but I just used this rather than trying to clamp a loose end of the braid. This filters out all the grain well. On the outside, I have the ball valve attached to the short length of vinyl tubing, with more tubing on the other side to drain it. The whole set up works well, and I get close to 80% efficiency with it. My last batch, I actually got a bit over, which meant I overshot my gravity a bit.
A fly sparge set up needs to be much more planned out, as a poor design will impact effeciency.
Do you ever have trouble with stuck sparges with this setup? The tubing at the bottom is all that is needed? No additional screen or false bottom?
I have never had a stuck sparge. I really don't have any tubing in the bottom, just the braided steel wrap from a faucet hose. You could use a stainless steel screen as well, but the hose is usually cheaper from Lowes or Home Depot. There is just a short piece of tubing in the bottom to feed connect to the barbed T fitting.
I love all the advice! Thanks, and keep it coming. :-) BTW, for my first batch of all-grain what type of efficiency will I most likely be looking at? Should I compensate to make up for my lack of skill?
On my first batch, I was terrible. I had like 55% or so. I was way under my target gravity. I then did a lot of reading about batch sparging and saw that you can often expect to have a lower effeciency when batch sparging, as quite honestly you don't spend as much time on it as you would with a fly sparge. If you read Denny's page at http://hbd.org/cascade/dennybrew/ he goes into a good discussion about batch sparging. He also has a couple of other links with some more information. These other pages talk about how to compensate for the loss of efficieny you may see when batch sparging by adding a bit more grain. To me the extra grain is worth the time saved, not to mention the expense of the sparging equipment. But, like I said earlier, I get close to 80%, so that is pretty comparable to fly sparging. Denny's page also talks about building a mash/lauter tun. His is a bit different, in that I got a bit lucky with how well everything fit without actually modifying the cooler I used.
I have a spread sheet set up to help calculate the extra grain and the amount of water I need for the mash as well as what I need for the sparge. With a little practice, everything flows pretty well.
My advice is to follow Denny's instructions, especially the part about stirring the mash before you start your run-off, which is completely opposite of what you do during a fly sparge. I think this was the biggest mistake I made on my first batch.
The other advice I have is to keep your first batch simple. I did an IPA on my first batch, and since I missed my target gravity, it kind of turned into a hoppy regular pale ale. It was still pretty good, but slightly unbalanced since I had hopped for a starting gravity of 1.075 and ended up hitting somewhere between 1.055 and 1.060.
I will echo most of norcal's statements. For your first all grain, definitely keep it simple.
Sure, you can make it VERY complex, add all kinds of grains to it, use a step mash, brewing salts, but why bother?
Denny is probably an excellent brewer, but I really don't care for his cheap'n'easy mash tun. I still find copper tubing to be better.
Once you have the basics of all grain down, and have done it a time or two, it gets easier. Hell half the time I am sucking down a beer when I'm mashing. I really don't think about it much.
I don't know, drinking beer during brewing is only appropriate. I think it would be wrong to brew without one. It might be counter productive to brew after 6 or 7 though. 
The nice thing about home brewing is if you ask 100 brewers about their set up, you will get 100 different answers. You can pretty much go as simple as a big pot and a couple of buckets as described in the Complete Joy of Homebrewing to a very complicated set up like a HERMS system. Either way, you will get good beer if you follow a good procedure and pay attention to sanitation, so it just comes down to taste.
Let us know how it goes or if you have other questions.
You must being doing something right, if you have a beer left to drink while you are brewing the next batch. I have only recently begun to brew regularly enough to do this. Previously I would brew because I had completely run out of good beer to drink!
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