If you need bigger sizes than slides, I have a few 30cmX15cm sheets of 13,500 lines per inch diffraction grating I got from a buddy at the University I would sell for $10 each plus shipping (prob around $4 for a postal flat rate priority mail envelope in the US no matter how many sheets you need) - It is easily cut and shaped and cost per square inch is like 10% of the cost of buying slides for $2 each. PM me if interested, in fact I may put a few up in the FS forum, I need to see how many I have left though (I know I have at least 5 or 6 sheets)...
You definitely lose a little bit with each layer of DG you shine a beam through...I couldn't test the 5mW theory though, the smallest laser I have right now outputs 54mW