First, you don't have to spend $4k to get a nice setup. You can, as people suggested find a nice used one, and install it yourself for around $1000, if you want an older stove. Since you have an unlimited supply of wood, the fact that the older units are very hungry shouldn't matter as much to you. Plus, it will still use alot less than your open fireplace, and heat much better. In my case, I bought an old Fisher for $350, an insulated stainless flue for around $250, and installed it myself. It only took a couple hours, and wasn't what I would consider a difficult project. I love my old insert, but I don't have an unlimited supply of wood, so I am thinking about buying a more efficient stove for next year. Well, that and my wife wants glass so she can see the flames. OK, I'd like it too.
Second, it's not all about ROI. When your house is heated with a wood stove, it's different than with a regular furnace. The best way I can describe it is that it's a more penetrating heat. Everything seems warmer, the furniture, the walls, the floors. I just got my insert last winter, and the difference we feel would be worth it even if we saved nothing. As said before, it's nice to sit back in shorts and a t shirt, and kick up your bare feet when it's freezing outside. We always kept our thermostat at 67 before , now our house is never under 70. I originally bought the insert as a supplemental heat source for really cold days, but we like it so much that I haven't had my furnace on more than a couple times so far this season.
IMO, you're already doing the work, you may as well reap the benefits of having a wood stove. I say go for it.