A few thoughts:
1) Macro filters, macro filter lens, diopters, macro adaptors, magnifying lens - all kinda the same product just varying names depending on the store and who you are talking too.
2) Macro filters come in two rough flavours
a) Dirt cheap - these are single lens (typically) and pretty rubbish. Yes they work, but they will do so poorly; that's why they are often cheap and sold in sets or in "getting started" kits. They are the ones most people encounter and will thus tell you to avoid all of them at all costs.
b) Decent price high quality. Raynox, Canon (500D and 250D) and a few others make these; and they are muti-element (more than one lens) and well made. They work and give a high grade of result. In fact compared side by side at the same magnification a DCR 250 can be hard to tell from an extension tube.
3) The Raynox lens is much smaller than the front element of the macro lens, but you don't really use the whole lens in macro work. Take a look at the canon MPE 65mm (which starts at 1:1) and its front element is TINY and its all it needs for fullframe 1:1 all the way to 5:1.
So the Raynox being smaller is no issue at all.
Raynox come with an adaptor that will fit a lot of front elements (spring loaded holder that clips into the screwthread for a filter) and is very easy to use and great fun. It's a really neat way to get higher magnifications without spending out on a high end lens like the CAnon MPE65mm. Note that they also make a DCR 150 (less powerful) and MSN series (I forget the numbers on the msn series but the are more powerful than the DCR).
Raynox sort of sneaked in at the side to still cameras as their primary initial market was video cameras - or at least that's where they were marketed toward. They work great and are well worth the money.