Ive done this on a couple systems, and you are limited by hdd size as the data grows. you will have trace files taking up space. and you will have data files growing as you collect data. You need to keep that in mind as you create a similar system, cause once the file space shrinks, no monitoring occurs... and then you are left with your pants down, so to speak. nothing like having to explain to an auditor why you have a gap in your data collection...

since you are running a server side trace, you will need to be able to fire off those procs to accomplish this. im not sure if these are available in express. to be honest, ive never used it. Maybe someone can answer that portion?

best suggestion that i can give you is to try it out on whatever system you can get your hands on. even housing this on a prod system is an option, if you have no other sql box to put it on. And as time goes, you'll see if it needs to be moved. moving it is fairly easy to do, as well.