I made the switch on my 4th batch. I'd been thinking about it but what kicked me over the edge was finding a semi-local homebrewer getting out and among the items he had for sale was a mash tun made out of an Igloo cube cooler. He also had a ferm chamber refrigerator, two carboys, an inkbird controller, fastrack bottle rack system, something like 24 bomber bottles, and a host of other stuff--for $150. Yeah, nearly the purchase of the century.
He didn't have a mill. The first couple of all-grain brews used grain crushed at the LHBS, but as I was reading here on HBT it was increasingly clear to me that I wanted to control my own crush, so bought a Barley Crusher. Not a recommendation, I'd probably buy something else if doing it again. Cereal Killer?
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I have an opinion on this--IMO, new brewers should master the process using extract, or at least become reasonably comfortable with it, before moving to all-grain. All-grain is all about creating the wort from scratch; once it's in the kettle the process is the same as extract brewing.
Since there are variables in all-grain that can alter the outcome, including crush, mash temps, mash time, mash pH, sparge technique, vorlauf, and so on, it seems to me that it's much easier to isolate a problem if you're not altering a bunch of variables and finding it difficult identify what's wrong.
Your jumping into all-grain will pay off in the long run, but IMO you want to be sure you understand what you're doing from the boil forward. See how the brews turned out, try to figure out what may have been altered to change the result, then move into all-grain.
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If you can find a local homebrewer who does all-grain and who would allow you to watch the process, that would pay huge dividends and move your learning curve ahead big-time.
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Keep the recipes relatively simple the first few times. I see here all the time new brewers (either extract or all-grain) who are trying to clone the Dogfish Zombie Maltster Double Hopster Dusty Stoutier that's currently famous. Then something doesn't work out and it's not clear why. Simple recipe, and produce what's expected, then move to more complicated things.
Oh, at one level it doesn't matter--I just brewed a Dark Lager that has six different grains in it, and once they're crushed in they go. But if you're doing a lot of weird experimenting w/ new stuff and you get a weird flavor, is it the weird recipe that's producing it, or your process? No way to know until you have the process down.
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So, my 4th batch was all-grain, using grain crushed at the LHBS. So was my 5th. Neither were particularly good--drinkable, but only that. It was the sixth one that hit the jackpot. As I review what happened, I'm sure that much of the issue was water. Once I started using RO water (my local municipal water is very hard, suitable only for very dark beers) and adjusting according to a spreadsheet, my beers took off.
Unless you're going to use RO or Distilled and build up your water with additions, you'll want to get a water report. If municipal, they may have a report that's useful. If not, then send a sample to Wards in Nebraska; when you order they'll send you a collection container and return postage box. A few days later, a specific report on your water as to its suitability for brewing and mineral/chemical components.
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One last thing; once you get past the equipment investment which doesn't have to be huge if you do something like BIAB, you can save a ton of money using all-grain. My 2-row barley I get from Ritebrew at 76 cents per pound; double that at the LHBS. I get Maris Otter (my fave malt) from Ritebrew at 98 cents per pound. My LHBS doesn't even offer that.
I buy in 50- or 55-pound sacks and store in buckets with Gamma Seal lids. Right now I have probably 150+ pounds of malt and adjuncts here, ready with which to brew. You save money when you buy in bulk.
Simple recipes I can brew for under $20 for a 5-gallon batch. That's 40 cents per bottle for tasty beer I cannot get in the store at any price. Hoppier beers more, of course, but even then you can buy hops in bulk to get the per-ounce cost down.
Good luck, and enjoy the journey!