Getting rid of the heat sink isn't really feasible.
The rest of what you suggest could be done, but it adds cost to the system. Right now people are screaming that the USB device is already over-priced.
Would you pay 2BTC extra for a friendly screen, a built in wallet, and an internal wireless card?
IMO, builtin wallet is a nice option, but it isn't necessary, wireless card isn't necessary as well.
What is necessary is that everything is setup.
User plugs the device in a USB port, follows a simple installation process, during which some mining software is downloaded. That software takes settings (pool, worker name, port, password) saved in the device (advanced users have an option to change that settings) and starts mining. Optionally, through an API, the device gets current amount of BTC mined and dispays it, whether on the builtin screen or user can check it somewhere in his/her computer.
So, essentially, user plugs the device, and watches how his/her BTC balance increases.
Moreover, let's imagine, the device not only mines, but also generates OTPs to login to it's account in the pool, like a Yubikey. In that case, if Bitcoin grows in value significantly enough to make amount of BTC mined some time ago something considerable, users will start to use the devices like physical bitcoins, almost like cash.