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I can comment briefly, I've been trading at IMM and Finex also. Limit orders for any currency future will execute at zero slippage at IMM. I've only traded the Dollar Index at Finex, but same story. Exchange fees at both come to less then 4 dollars / round turn. With a competitive broker...

A clarification on the 2-3 pip spread vs. futures 'honest' market price. If you (the original poster) want has a scalping strategy, it would be best to execute such strategy in the Forex market. If you want to get very very tight execution, trade currency futures in Chicago at the IMM...

Alternative to BootCamp is http://www.parallels.com/ Price is modest (not free) but offers some significant security advantages. Parallels runs a VM (as many VM's that you can put in memory) so both OSX and Windows will be available to you. The VM can secure sanbox your windows...