I'm also in the same boat. I recently bought sterling shares. When I checked in my portfolio I noticed they were about 3% down straight away. I know there are trading charges and stamp duty but to be down over 3% shows the money they are making on the FX.
Are there any online brokers that allow you to hold funds in euro, sterling and us dollar at the same time. For example, if you sell us shares the funds would be deposited in a dollar account and they could be used to purchase future us stocks. this would get rid of the costs of FX comission and the spread. Likewise for euro and sterling stocks.