If I go this route [cooler for MLT] will I need another container to sparge or will the filter allow me to transfer the hot liquor straight into the kettle? Any comments and advice are greatly appreciated!
It depends on how and even if you want to sparge. Your options are:
1. Fly sparging - like the commercial brewers do, continuously running water through the grain bed.
2. Batch sparging - draining off the first runnings and then adding one or more additions of sparge water all at once
3. No sparge - adding the complete volume of hot liquor to the MLT at the end of the mash.
And that's pretty much in order of efficiency you'd get. #1 and 2 require a hot liquor tank. #3 wouldn't (your kettle could pull double duty as the HLT). There are also 2 vessel HERMS systems that would get great efficiency in a small area, but I think that's a little more complicated than you're looking for right now.
Some other considerations are how big of a batch you want to brew and if you have outdoor space available. A full 5 gallon batch of all-grain is going to require you to collect about 6.5 gallons of wort and both bring it to a boil and chill it in a reasonable amount of time. That's more than most stove tops can handle on the hot side and you'll need a wort chiller on the cold side. Once you're off the stove top, you're probably looking at propane, and that means you're moving outside.
If you're stuck inside, 3 gallon batches are probably the best you can hope for unless you want to do partial boils and top up in the fermenter like you're probably doing with extract. Either way, you're going to be deviating from most all-grain recipes you're going to find. Scaling down is easy, but if you want to do partial boils, some brewing software is probably a good idea. Also, you're still going to need to boil off at least a half gallon to avoid DMS, so you'll want a real range hood with an exhaust or rig some other way to get all the moisture outside.
Finally, go on ebay and find yourself a refractometer with automatic temperature control. You can find them for $20-30 + about 10 bucks in shipping. It'll make your life much, much easier come brew day.