With 3500 FC, buy Killer Prime or...?

[Liu]

I also recall that somehow you can switch between Horus and Osiris, so you only have to buy one of those, is that true?

Not true

Can you maybe also say something about converting Osiris into Horus? I don't seem to find any info about that

See above. Maybe you're confusing it with angel and gambler ? However, those can't be converted either, it's just a 50:50 between getting one of them from the a&g soul.