1. There are a few advantages to grinding your weed, first being that its a lot easier than ripping it apart with your fingers. Secondly, it evens it out a little bit, theoretically forcing it to burn more evenly, lastly, it separates some THC crystals from the bud, which you can later use to make Kief, assuming your grinder is equipped with a kief-catcher.

2. I don't own a bong, but I'm not certain why glass beads would be required to catch the ash. The amount of pull force required to pull ash through the bong would be incredible, if not impossible.

3. Filters will do absorb some THC, but not a lot, and the nice part is, if you save them, you an roll them all into one super-potent turbo joint.

4. Get one! They are much more efficient with your bud. You'll end up saving a lot due to the fact that its not smoking when you aren't toking it like a joint or blunt would. If harshness is a problem you could always get a bubbler, which is like a pipe/bong hybrid, however, chances are you'll get used to the harshness. Ever since I got my pipe I have yet to roll another joint.

Have fun,
Mike