If you are willing to go IEM (wired or wireless), then there should be no issue building a light, flexible, and modular monitor rig that doesn't ruffle feathers with the sound man. It's a personal choice to save your hearing and clean up your stage volume, and he should respect that. Taking the monitor control out of his hands so he can work on the FOH shouldn't be ill received either, but I don't think you should ever do your own monitor system and use your own speakers. It makes it pretty hard on the sound man to control feedback and stage volume.
You will need to work some things out with your band though just to see if you are a candidate for it.
How many inputs do you need to put through the monitor system?
How many different mixes do you need? Can you share a mix for a while, or ever?
What's your starting budget?
Who gets to be in charge or bringing it to every show AND practice. With IEMs, you need to use them to get used to them. From how they feel in your ears, to what they sound like, to handling and setting them up to work best for you, etc. It takes some time to get used to, and takes commitment.
Can you stand using a wired in ear monitor and save thousands?
The key to integrating into the house PA without becoming a burden is to use a split snake. 8 XLR channels are about as few as my band can get by with (4 vox, 3 guitar, bass). Expect to spend around $150 for the snake. Plug the 8 sources of XLR into the box of the snake. One end goes to your monitor mixer (we have it on a 30' long whip to get to the back of the stage), the other end goes into the house snake for the FOH sitting right next to it. Any other inputs you don't need in a monitor will plug right into the FOH snake as well.
From there, you need a inexpensive mixer with at least 8 XLR inputs, and as many aux channels as you want mixes. We use 4. We have been using a Behringer 2442 for over 10 years with no problems. If you are worried about quality for some reason, remember that you are only using it as a headphone amp primarily, but in a pinch (or fulltime, really), you could easily use this mixer as a monitor and FOH mixer at the same time.
Plug the 8 channels of the split snake into the monitor mixer, and plug the 4 aux sends (outs) into a multi-channel headphone amp. 4 Channel headphone amps are around $100 or so. Then you plug some nice long and heavy duty headphone extension cables into the amp, and give each of your band mates one of them. Then they plug their in ears of their choice into it. Now they can walk over to the mixer and dial up their own mix, or yell at you to do it for them. Regardless, the band is in control of what they hear.
This is a good starter system. The next logical step is to go wireless transmitters and belt packs for each member. These are pretty expensive, but each member can buy them as the funds and need allow. Over the course of a year we all purchased Shure PSM-200 system (includes some E2 $100 in ears). We used these for over 5 years, then started upgrading to dual driver buds ($250+) within the past year or so.
Plan on saving a few rack spaces for expansion of the wireless packs in the future. They are usually half wide, and you can fit 2 transmitters in 1 rack space. We use the 19" flightcase type mixer rack with the slant top to hold the mixer, and 4U to hold the 2U of transmitters, a rack mount power strip, and a spare 4 ch headphone amp that we kept around during the wired days. We keep everything prewired and just unroll the split snake and plug it into the house snake, power it up, and start using it. In general, we have a rough setting from the last time we used it, play a song to give FOH time to set his levels, then walk over and make a quick adjustment, then get a beer. We don't change it much the whole night. We don't have to ask the sound man to raise this/lower this, and if he messes with the trim pot on the FOH mixer, it doesn't change our level like it most certainly would if it went through his board. We are also modular enough to plug into just about any FOH system.
Wes
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