I have done five partial mashes before this one, and this first all grain batch makes my 9th batch in total. I managed to do it, full boil and all, for a 5.5 gallon batch in my kitchen. What really surprised me is that my OG was slightly higher than I calculated but the volume was right - my efficiency has gone up to 75%. I think that might be explained by collecting more wort than I did for PMs, 6.5 gallons vs. 4.5 gallons, so the multiple batch sparge rounds washed more of the sugars out of the grain.
This batch was an ordinary bitter, a lower gravity beer using 8 lbs of grain total, as a sort of trial run before going for anything bigger. The only real difference I noticed vs. doing a partial mash was an extra sparge round (I use a 5 gallon MLT), no use of extract, and using an O2 kit to oxygenate rather than shaking the crap out of the fermenter bucket.
Man, all grain is fun! There's no looking back now!