I use a Barley Crusher with a 7.5lb hopper. I scored it for 60 bucks used. I grind into my old bottling bucket. I bought 350lbs of grain and 5 lbs of hops on my clubs bulk grain buy. I keep it all in a small closet. I honestly don't know if there is a difference in terms of efficiency (nor do I care), but I prefer to grind just as I mash. Something about the smell of fresh cracked grains hitting the water in the mashtun. I love that smell.
You know its funny you say your messy when you brew. I used to be. I weigh over 400lbs. So take that space and put me in it with the equipment. After a few serious clean up jobs and the wife flipping out I learned to contain it. Now she doesn't care that I brew. She knows I don't make a mess and she gets to order take out instead of cooking.