I can't really tell you much about the cost, as everyone's grocery bills are different. But it does cost a bit more to eat healthier, unfortunately.
As for protein powder, you should look into an unflavored protein powder. If you're adding fruit, this will provide enough flavor for your smoothie. I get an unflavored protein powder from http://www.bulkfoodsdirect.com.
This stuff is truly unflavored, and by buying in bulk, you are getting a better deal than the smaller containers of protein powder available in most stores. You should check it out.