All of your choices so far are good, and Narfle suggests some great other ideas. Really, it's a question of what you're going to get first. I'd suggest getting Dark Retribution, Dark Briar Barrage, and Voltaic Tempest first. These give a nice mix of damage and status.

I've never used an elemental shard bomb, but that could be next. Nitronome could be next too; it's redundant with the damage types you already have, but the knockback makes it really different. A vortex bomb is a must for anyone calling himself a bomber. Shivermist Buster (or Stagger Storm) is useful for crowd-control in shock levels, while Ash of Agni is useful for area-damage in shock levels. Use Shivermist Buster sparingly.

For shields, try searching Google for something like "spiral knights forum bomber shield". Cheers.

Anar-Bor's armor advice used to be good, but now Chaos completely overpowers Mad Bomber, so there is no point to the latter. In other words, if you're feeling offensive, then stick with Chaos and Chaos. If you start thinking that you'd like more defense, then mixing in a little Volcanic Demo could be good.

Fashion aside, it's just a simple fact that mad bomber (arguably supposed to be 'the best' bomber set) is simply outclassed by the chaos set. I have a ton of bomber gear, and I love my bomber gear, but I love it for nostalgic reasons. Similarly I continue to craft demo sets and collect UVs in the vain hope that bomber gear might someday be rebalanced--I mean, really, at least give us some native pierce defense on ONE LOUSY SET--but the fact remains, if you are going to craft or purchase just one set to use as a bomber, chaos has got to be it (for now).