I use this setup for at home photography, on the road I use two slave flash units instead of the lightboxes.
The lightboxes use CFLs, they still throw some heat, but nothing like conventional photofloods. The twin flash unit has diffusers on the lights to dampen glare a bit, the flash unit is also turned down to provide fill light only.
The background is a gradient blue to white, this one was bought, but a cheaper version can be printed out using a colour printer. I put sheets of matte photo printing paper over the white section under the miniatures to protect the background from scratches and marks. I also use a targetting dot on the paper, so that I can consistently position miniatures.