Honeywell makes a really good one, called the Chronotherm III. You can program it for four temperatures per day, and it has a M-F then Sat and Sun settings. This will put a completely automatic control on your furnace.
Without being able to see the home first hand, the regulars are going to have a hard time giving you advice on the other issues. I would solicit bids from 3 or 4 heating contractors in your area to give you ideas on the various solutions you mention. Your local utility companies should be able to give you an energy cost comparison between the various fuel choices, most of the time they can be extremely helpful.
For what its worth, I prefer natural gas. In my experience, it costs less than electricity, and just about anything is less expensive than electric resistance baseboard heat.
Best of luck to you, and yes, sandblasting like you describe involves a trailer mounted compressor (ingersoll-rand) that won't let your neighbors put their kids down for a nap all week.
Good luck to you, consider getting a different house.