Our band has started to invest in gear to allow us to play at low volume. I've got a multi-effects that has XLR out, the drummer bought a Roland V-Drum (TD-12)... Assuming we already own a cheap mixer, vocal mics, what are we missing?

Headphones, and a headphone amplifier?
EL : Fender Roadhouse Stratocaster - ESP LTD EC-400VF
Amps : Fender DeVille 4x10, Fender Blues Jr, Peavey Bandit 112 Transtube '08
Effects : Digitech RP-500, POD X3, TS9 reissue
AC : Seagull S6, Marshall AS50D amp
Sounds annoying. Just get a practice room.

If you're really keen on this, get a couple of guitar pre-amp things (they can be effects boxes with pre-amps) and put the guitars and bass through them into the mixer as well. Buy a cheap amp for the mixer to amplify the sounds and everyone can gather around a speaker.

Fun hey!
And no, Guitar Hero will not help. Even on expert. Really.