Pellet Stove Install Help

We have a Big E pellet furnace. We installed it in the basement to replace a scarey looking wood stove that was there when we bought the house. Well, the furnace heated the basement quite nicely, but didn't do much for the rest of the house (3100sf) we tried everything to get the heat up in the main house but its not cutting it. Our wood stove heats the house fabulously, so we haven't been using the Big E at all.

Now, we have decided that since we bought the thing, and have 2 tons of pellets in our driveway, we should try to make this work for us. We want to move the Big E up into the house, on the opposite side from the wood stove. We have the materials for making a hearth, and hubby is going to do the metal sheet on the wall but what do we need to do for the chimney piece? We want it to be done right/to code for MA. The plan was to go up a few feet on the inside then go straight out through the wall to the outside. I know we need a thimble for the 'go through the wall' piece, but do we need something for the return air? (currently, the Big E is hooked up to the chimney in the basement so we don't have any need for extra 'stuff')

We want to do this ourselves, so we want to do it right....
We are hoping for something like this:
http://www.stainlessventingandchimneyliners.com/pellet-stove-venting-c-52.html

Do I have to have the 'chimney' pipe on the outside go up past the roof? I thought I read somewhere that you did not need to go up past the roof with a pellet stove...we are trying to do this on the cheap...or as inexpensively as possible.

Webmaster we do have the room, which is why we thought to do it. BeGreen thanks for the links! That is what we want to do so the parts list is a bonus!