Welcome to the boards.....
If I were in your shoes, I'd try the polishing first. It's not really difficult per se, but labor intensive (and messy). The start-up costs are relatively low and you can get that out of the way. After that.... I'd check out the powder coating stuff. A little more advanced than the polishing, but nowhere near what you have to go through for plating/anodizing. Once you've played with that for a while... you should have a good "feel" and most of your set-up for plating and or anodizing already (with exception to the power supplies). By that point you'll already have an air compressor and some chemicals built up around there to give you a good running head start on that kind of stuff. But all of that is just my .02
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