I wish there was a way to quote multiple replies but I'll try to remember your questions.
For the CO2 cylinder I would definitely get aluminum. I only say this because I've had some moisture problems in my keezer even with dehumidifiers and theres a chance the steel could rust. I bought my own cylinder I just get refilled but you can do tank exchanges through places like Airgas if you don't want to buy the tank.
If you don't have a large enough pot for full boil like Tinga mentioned I think that is an upgrade you should make before going all grain.
For a mash tun, Im using a 10 gallon home depot water cooler with a false bottom. The false bottoms run about $35 and the coolers about $20. I added on a weldless ball valve for another $20. There's other setups you can run so spend some time looking at DIY cooler mash tuns. If you want some pics pm me.
Like Tinga said, you don't need a grain mill if you're homebrew store has one. Getting one is on my list of upgrades but its not a high priority yet. I'm lucky that my store has one that you can adjust to whatever spacing you want.