Stauns are legal, and about $160/set. I tested a set before they were sold here. Clicky for thread
I have been running weldons since '02 on my DD with absolutely no issues at all. The main reason I run them is because I found my tires slipping on the beads when I would climb sheer rock faces. If the Jeep pitched a tire off the rim in this situation, I would have ended up with an end over end rollover. (Not something I look forward to)
As for price, I have done several sets for myself and others, and the cost is $250 or less total. You already have the wheels, so there is no extra cost there, and cheap steelies can be found for $50 or less for a set if you are running aluminum wheels.
I say do it- the people telling you not to don't appear to have actually run DIY beadlocks.
As for a CO2 tank, tell that to the guys who have run The Cliffs without beadlocks (Including the Ultimate Adventure)- there is no way to reseat a bead when you have 10lbs of mud in it. There were 4 lost beads on trail #12 alone.