Yes, the AA adapter is a must, and the fact that this camera takes AA batteries should be one of the biggest selling points. I ordered my AA adapter for the K-30 a week or so before I had even pulled the trigger on the K-30 so that it would have time to arrive from China. I bought this one from eBay for $4.50 shipped:
D-BH109 AA Battery Holder Adapter Bracket For PENTAX K-R SLR DSLR CAMERA | eBay
I took 603 shots with my K-30 in RAW + JPEG the other day on a fully charged set of Rayovac Platinum NiMH batteries that charge up to a little over 2200 mAh. I also took several HDR shots (JPEG only, 3 shutter actuations each time), so were talking about well over 1200 files being captured. I was using a huge and heavy screw-driven lens the whole time (Sigma 100-300mm f4), so I figured the batteries would be about spent, but when I put them in the charger, the charger pulled another 930 mAh out of the batteries before they were fully depleted. The batteries were about $10 from Wal-Mart, and can be ordered for about the same price from Amazon:
Amazon.com: Rayovac Platinum Pre-Charged NiMH AA Size Batteries, 4 Count: Health & Personal Care
I also have a couple sets of Eneloops, and they seem to perform about the same as the Rayovacs.