You're not alone...I saw some BoE set pieces on the AH last night for insane amounts of gold (in some cases >100g). I'll keep my eyes open when checking out the AH, though...maybe I'll find a deal.
FYI, I completed the first upgrade quest on Waldonnis last night, upgrading his never-worn Dreadmist bracers for Deathmist bracers. The quest is very easy (kill some non-elite bugs in Silithus for a venom drop), but you have to give up 20g as well. The bracers weren't bad, in my case, and are now being worn
For the second part of the chain, the guy in Thrall's chamber gives you something to take to Gadgetzan and, upon turning that in, the goblin there gives you another "intermediary" quest. This one's not cheap, though, and involves turning in some stonescale oil, a delicate arcanite converter (ouch), some volcanic ash from Un'goro, and some other craftables. I stopped at this point since I was overtired and also had no clue what piece of the set this was intending to upgrade (I only have the bracers and gloves, so I didn't want to gather that stuff only to wait). From what I could tell, the reward for this part was some bag that is probably used for the next upgrade quest, but it never mentioned any particular set piece requirement as of yet.