My not-really-a-P21-actually-an-E02 arrived this weekend
It's a very nice machine! Runs considerably warmer than my P21, but it was really easy to hack.
Honestly, you've got very little reason to switch from an E02 to a P21, and some reasons not to.
The SATA speed difference isn't going to be that noticable for any kind of NAS streaming, only for doing local work on the P21 itself (i.e. web serving or compiling). If you're determined to do those, then a GoFlex Net is another alternative that you should consider.
The SATA port on the P21 is on the motherboard inside the case. To get normal access to it you're going to have to modify the case somehow.
I believe that WarheadsSE added a SATA-to-eSATA adapter cable and mounted the eSATA port inside his case.
Someone mentioned using a SATA-to-SATA cable and taking power from a USB port for a 2.5" drive.
Personally, I used a 7/8" DeWalt hole saw to drill a hole through the case above the SATA port and just plug in a SATA-to-eSATA transition cable that connects directly to my eSATA drive.
One more thing ... if you were to choose the eSATA route, then you need to know that not every eSATA enclosure is compatible with the stage0 boot ROM built into the CPU on the P21.
For instance, my Vantec NST360-SU works fine, but my Rosewill 2.5" eSATA/USB enclosure hangs up the pogo in a boot loop. The same Rosewill enclosure works fine in USB mode once the kernel has booted.