It would of course not make fuel cheap until we can learn to mine cheaply in space. And we're not even 1% to that stage. You have to pretty much relearn how to do everything you take for granted on Earth in space. Look at Philae just attempting to softly touch down at very low speeds - it had four different ways to try to stop it from bouncing (shock absorbers, ice screws, harpoon, counter-force rocket), and it still bounced way off and ended up in some rocks somewhere. And you're picturing setting up a whole refinery there? Yes, some day. But that day is not close.
The radiation issue is a big one that a lot of people downplay (they forget that the only reason the Apollo astronauts got away with as little shielding as they did was that their missions were on the order of a week or so long - and even still, they would have been in bad shape if a solar storm had hit. As it was they reported seeing regular flashes of light from cosmic rays impacting their retinas.
There've been a number of proposals for how to deal with shielding. One is to build a mini-magnetosphere around the spacecraft; my last reading on the subject was that it would be a realistic way to deflect most solar radiation but not GCR. You still really need physical shielding (which is a complex topic... beta and gamma are blocked by heavy metals far better than they are by light materials, but neutrons need to be moderated down to be stopped effectively, which means light, high scattering cross section elements like hydrogen; heavy ions tend to multiply high energy neutrons. And to make matters worse, forms of radiation switch around - betas kick off gammas due to bremmstrahlung, gammas can kick off photoneutrons or betas, betas can kick off neutrons too, neutron capture kicks off gammas, transmuted elements decay releasing gamma, beta, positrons, alphas, sometimes neutrons... It's really tough.
Most proposals call for using fuel, water, oxygen, etc as part (but not all) of the shielding - it's particularly good against neutrons, as all of these things are generally composed of CHON, all of which are good moderators (especially the hydrogen). A common proposal is to have the heaviest shielding around the beds, as you get better bang for your kilogram that way. I've pondered a more advanced version of that, having significantly more fuel / water / etc tankage space than you need (the extra mass would be part of your shielding anyway, so it's not really a "penalty") and having a computer system intelligently pump it around to where people are at any given point in time and where the sun is / what the current solar radiation flux is / etc. I wouldn't be surprised if you could cut the radiation dose to less than half in that manner, possibly a lot less. You'd need durable, reliable pumps, of course.