Here's a good thread on the 300ZX brake swap.
http://www.nissaninfiniticlub....35165
General consensus seems to be that the only advantage to a 5 lug conversion is a better wheel selection.
Quite a few people get the 300ZX rotors redrilled to the 4 lug pattern. Personally, it makes me nervous but I've never heard of any problems from the redrill.
You'll also need some custom lines to go from the 240SX hard lines to the Z32 calipers. You can get those at
http://www.pdm-racing.com
I think Project Silvia also has some for sale.
Technically, you can't turn in your 240SX calipers and get the core charge back on your new Z32 calipers. People often do it, and the guy behind the counter will probably have no idea that you returned a part from a different car. So, I guess you can call it "tricking them".