So how does this DC system work, something like this?:

1. Power is generated in AC
2. Then it's converted to DC
3. Travels a long distance through the lines
4. Is converted back to AC
5. It's finally distributed

Perhaps, as you say, it would be more efficient... but then again the price of the infrastructure needed would increase as well?

Where I am with the long distance transmission lines the savings are in less radiation and one less conductor for a couple, the savings offset the cost of DC conversion many fold.
The one currently being built at a cost of $4.5 Billion.
Max.

 

So how does this DC system work, something like this?:

1. Power is generated in AC
2. Then it's converted to DC
3. Travels a long distance through the lines
4. Is converted back to AC
5. It's finally distributed

Perhaps, as you say, it would be more efficient... but then again the price of the infrastructure needed would increase as well?

Sometimes it's less efficient electrically to have a DC system but DC enables grid control in ways you can't have with synchronous generators. It's sometimes used Back-to-Back to decouple generation sources from the grids rotational inertia to prevent cascading blackouts.
http://www.alstom.com/grid/products.../hvdc-transmission-systems/HVDC-Back-to-Back/
http://en.wikipedia.org/wiki/McNeill_HVDC_Back-to-back_station

 

Also radiation losses, one reason for going DC.
Max.

The pylons near where I live make quite a racket in very damp weather - that can't be free!

 

DC is not radiation free, just lower than AC.
http://www.hydro.mb.ca/projects/bipoleIII/pdfs/dc_lines_electronic_devices.pdf
Max.