Well when Liberty Utilities here in NH decided to skyrocket their prices this year, I knew I had to get off the electric heat. I had no wood, so I started burning Eco-Bricks from Tractor Supply. They burn different than cordwood, there's a little learning curve to them but man it is cleaner, easier to manage in every way and to me it was still way less than electric heat. If I'd had a good stove and a good chimney, I would have gone through the winter with those. But I decided to learn more about stoves, chimneys etc. and it was all bad news: I had 7" stove going through a 6" thimble into a masonry chimney that was too short, didn't draft worth a damn and could generate creosote very effectively. Cost to upgrade both the stove and chimney was well over $3000 counting a used stove at less than $1000. So, I threw in the towel and went with an old $800 pellet stove, and did the venting up right with 4" pipe and liner all the way to the top of that dangerous old creosote generating chimney. I'm heating 1500 sq feet out of 2100 (keeping 3 unused bedrooms closed off) and the whole house is warm with a 34K BTU stove.
I do miss the dancing flames of the wood stove, but I don't miss always worrying about a chimney fire before hitting the end of the year. I've spent about $3200 for the stove, the venting, and 3 tons of pellets, enough for the rest of this year. I can sleep through the night without getting up - not too much of a big deal, as I'm fairly insomniac anyways. But, if I could have got into a nice wood stove, safe chimney and 3 tons of Eco-Bricks for the same price, I absolutely woulda done it. No regrets though, this little pellet stove throws more heat than we need and I know we're safe. Next year, I'm seriously thinking of doing a wood fireplace insert at the other end of the house, something that offers quiet, radiant heat.
As others have said, you got experience that will pay if you do convert. You do want to look at old and new stoves, whether you want thermostat, digital etc. Me personally I went with old, no thermo and all analog. I've worked with digital equipment for almost 40 years, and really like the simplicity and reliability of motors, rheotstats, and switches. But, I can see the value to all the fancy controls, just not convinced yet that they all belong in something that burns wood at high temperatures.
If you have a good stove, good chimney, and you want to save bucks you could get a ton of bricks somewhere and not be in a hurry. You can take your time and read through these forums, visit stove shops, and talk to folks. Stoves and pellets are always cheaper in the spring and summer, when no one needs them. I was under pressure, because for example last year in December I used a little over 4000 kWh in electric, and this year the price for that would be almost $900. That's not your situation. But if you're itchin' for a pellet stove, you won't go wrong with the advice you get here.