CDJ's like the 400 are aimed at the bedroom DJ and so, to keep the costs reasonable, a small number of effects are built into the unit. The top end CDJ products feature all sorts of DJ technology, but all the effects are left off to be part of separate effects units or mixers, allowing for a much richer set of features and much more potential for creativity.
The EFX-1000 is Pioneer's stand alone effects unit - you can use that with the Send/Return on your DJM-600 or run it inline direct from your mixer's output. As for mixers, your best bet would be the DJM-900 or DJM-2000 - both have incredible effect capabilities and also work hand in hand with the CDJ-900 and CDJ-2000.
It might be an idea to upgrade your mixer first, as that way you get a new mixer AND effects in one go, then concentrate on CDJs further down the line.