New KA24E: This is the easiest option. You can always upgrade it later if you want.
Rebuild your E: The search button will be your frond here. High compression will be a little hard to come by. The only people I know of that have it did DE head swaps (only one or two that I know of are running at the moment). The sucessful swap which I'm sure of is in a Datsun body. DeviousKA did some machine shop tricks with the pistons out a Dodge minivan to get more compression. The performance parts for this motor are a little harder to come by but they're out there. On the other hand a regular rebuild is as easy as any other engine.
Swap KA24DE: I think this is what I'm going to do. However, I'm going to build it outside of the car first. I have a KA24E as well and the head swap looks to be a real hasssle. The same compression can be achieved by using the E pistons in the DE motor since the two parts that create the compression are the DE head and the relativly flat topped E pistons put together. For this you would need to find out whether your pistons are any good. They very well may just need new rings. Of course E pistons are pretty cheap anyway so no big deal if yours are shot. Performance parts for this engine are a little easier to come by. Also note that the DE motor has oil squirters under the pistons for cooling.Here is a thread about dropping the DE in.
http://nicoclub.com/zerothread?id=99054
Edit: Welcom to Nico!