Hunter...
I bought a MP5/40 kit for the same reason. I want to have it built up using an ORF receiver and the proper amount of US parts. I really want a 10mm but finding the barrel has proved to be impossible. From what I have heard from smiths who do these conversions, it is a pretty difficult task and as I have foudn out darn expensive. To get the 9mm receiver to work with .40 SW mags you need the whole 40 SW mag well (I believe that is CaptainKevin made his comment), you then remove the 9mm mag well and replace it with the 40 SW which is a hefty task for the average person. Not to mention the bolt hold open modification.
CaptainKevin - Are you talking about the diagonal cut that got the front upper part of the mag well? How do you need to cut these to make the mag well a suitable donor on a 9mm receiver? Not flaming or anything, I just really need the information...
Oh, I have heard rumors from several sites that Vector is planning on making .40 SW and 10mm MP5/40-10 clones in the near future. Who knows if this will actually happen, but it would be nice...
Spooky