I just stumbled upon this topic and had to chuckle, since i had a schematic lying around my hard drive for about a year now, looking quite similar. Even used the same InAmp.
Had a breadboard version up and running, and began working on a layout for a smd version consisting of three tiny (2x3cm) pcbs connected by flexibel connectors.
One board as analog stage with amp and filters, the second with the microcontroller (atmega64) and a third with rs232 and a small rf transceiver module.
That way i intended to mount the entire rig directly on the headband, supplied by a small LiPo Battery.
Also began looking into the possibility of using active electrodes without the for contact gel, but never came around to do some testing.
I had to put the thing on hiatus however, since other things have taken up my time since then.
Thought you might be interested of how others tried something similar. Best of luck to you and your project.
Below my design for the analog stage. I used three electrodes though, with the third directly tied as reference.