I've got a 600 watt MH in a cooltube and I can let my plants basically touch the glass without burning. Although I keep em a few inches away. Hell even with my HPS in a air-cooled hood with glass I can get them very close with out burning. That's why they hae high velocity fans. I keep my babies as close as I can to the light.
MH=HID Both hps and MH use alot of power compared to cfls. Also it's not the bulb butyour ballast that draws the power so if you use a digital ballast I imagine the cost should be the same when switching from MH to hps.