Please add links to the components you are using (paste the url in the text).
This is your sensor board, https://www.sparkfun.com/products/10736
That costs 124.95 dollars ?
Three sensors (accel + gyro + compass) can be bought for 20 dollars on Ebay, or 10 dollars for 10DOF board, or 8 dollars if the magnetometer is on a seperate board.
A 'normal' setup with Arduino would be:
- An sensor board with I2C digital interface.
- An Arduino as the main controller for the servos, sensor board, kalman filtering, PID control.
A library to control servos, http://arduino.cc/en/Reference/Servo
A library for PID, http://playground.arduino.cc/Code/PIDLibrary
A guide for Kalman filtering, http://arduino.cc/forum/index.php/topic,58048.0.html
But you have a PC somewhere in the middle......