Trays are much better and more economical. Crowded trays are particularly good when growing columnular genera like Trichocereus
sp. or Pilosocereus
sp., generally all columnulars will benefit from the extra support of the other seedlings and will not so easily topple over.
I use takeaway containers though
It's best to wait as long as possible to prick the seedlings out and it can even be a few years, especially for the slower growing species. The most sensitive area is the the extra fine roots that can be easily damaged. Once damaged, this can lead to problems. That said I have transplanted young seedlings, as young as a couple of months with little loss. It depends how careful you are. i don't advise it though.
The best way to grow seeds is seperately. Say if you have Astrophytum asterias
seeds and you also have Astrophytum asterias
you should even sow these separately.
The climatic conditions of the cacti's origin is very important and if you start mixing up seeds from Mexico with seeds from Peru (for example) you are going to get some difficulties arising because the climates are so different hence the cacti will require something similiar to it's native clime.
You shouldn't let your seedlings dry out or even lose too much humidity until you are to harden the seedlings off, which can start from 2 months (normal cacti) can be up to 2 years for species like Ariocarpus.
You shouldn't really need any sort of heating mat if you are from the tropics. Depends when you want to propagate (time of year) and what sort of scale you want to propagate on. I leave my trays outside (covered, remember I use takeaway containers) and move them to a shady (but decent light) spot in the greenhouse after the have hardened off.
Don't forget NEVER place seed trays, or whatever you use or seedlings in full sun as they will fry, if you give the seedlings too much sun the will turn red/bronze and stall. I never put my seedlings in any sort of sun light. Just a well lit area.