Diver,
IMO, I would stick to what you have and build from there, full size trucks are hard to beat on a long run for comfort and storage. From what you are describing with the headlights I'd start from the relay and work my way out to the headlight for finding the issue. A guy I work with has same model truck and he had similar issue and we found it was a relay problem in his HI/LO beam circuit that would't allow the circuit to the headlight to be completed. I don't remember if the 4x4 on Ford is done the same way as GM with the electro shift on the transfer case but I had an identical issue with my 1500HD that turned out to be the 4LO encoder motor (electric transfer case shifter) I replaced that and my issue went away. Make sure you get out to a dirt road at least once a month and run it in 4LO for a minimum of 5 miles to ensure everything is working without issue, then another 10 in 4HI. I do this every month on my 1500HD. I haven't had an issue in almost 18 months since I started that.
to check the bearing quickly. chock the rear tires and jack up your front end and put on jack stands so you have a little over an inch under the front tires. Try to wiggle the tire and see if you have any play, from what you are describing it sounds more like a CV axle issue so check your boots to make sure they aren't cracked/split which will cause them to fail faster.
as far as the ARB compressor those things are great to have, and pricey. I am a fan of using the Dive Tank style air tanks. They will run an impact, fill tires, almost anything you need short of seating a bead on a rim.
good luck!