There are a number of 40k blogs doing airbrush articles right now. N++ has a good starter series and links to more.
Airbrushes for Malifaux mini's I think pay the most dividends in terrain building. They are a great tool for base coating many models in the same color, they are a great tool for priming and using a zenithal priming technique. Since most Malifaux models are painted as individuals, not as mass units, the model painting value for Malifaux is limited.
That being said, as I mentioned for terrain they are awesome. Base coats, highlights, depth, the whole nine.
You do not need a spray both indoors if you are spraying acrylics. If you spray anything other than acrylics you will want a spray booth.
You will want a screen (I use foamcore) to spray against, and to catch overspray. You will still want to wear a mask (something that screen particulates, fume mask is not necessary for acrylics) and work in a well ventilated area.
If you're working in a garage I recommend a tool compressor. If your working in an apartment you'll want something quieter.