Keith good luck with it mate, I have probably 8 or 9 chucks not counting the Jacobs and collet chucks of which there are many more.
One has the cole jaws on permanently as you suggest, works for me as I can leave a piece in a chuck to finish later while using other chucks for different projects.
Yes it's expensive to start with but pays dividends when you have a lot to do, mine now have a zero value to them as they have all paid for themselves many times over.
While a vacuum chuck is without doubt useful you cant' leave work on it and do something else on the same lathe.
Horses and courses again init?