Hobbywing set will cost around 400+ complete with ESC, "speed passion" set will cost around 800 (however i think it's the same thing, the ESC programming card looks suspiciously similar). Castlecreations' mamba is 800+ too. I'm thinking of changing to brushless so let's change together!
Standard servo mod would require some innovation on your part , different people do it differently. Personally, i see no need to do so.
You would need to get a new receiver and servo. The stupid kyosho servo has no PCB inside so can't work as a standalone servo and our receiver is not exactly a receiver either. Wanna get it together ? hahaa