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You are correct, that is all the stuff you need!I think it is up to you whether you get more out of building your own quadcopter. The hobbyking quadcopter you posted does look like a good deal, but I don't know how many of the parts from it you could reuse on other builds (ESCs, Flight Controller, Radio and Receiver).You say you want something you can hack a bit for fun, which is where building your own quadcopter comes into play. If you want something that works right out of the box, but maybe is not quite as customizable, then go for the off-the-shelf.
You are correct in that you would need another frame and set of propellers, but if the frames are drastically different in size you would need another set of motors. You could definitely reconfigure the naze32 for use on a different build.As for calculating how much weight it can carry, that is difficult. I think the best way to find out how much your build can carry is to look at what other people built to carry a similar payload. With the components I used in my quadcopter build, it could easily carry a gopro and gimbal.
Overview of Quadcopter Components / How to Select PartsView Instructable »