Pre-processing EEG signals
The advantage to using FIR-filters here is that you can (relatively easily) account for the delay.
Assuming filters with constant group delay (see examples here,) - which seems likely given that your filters have an odd number of taps - all you have to do is to remove (n-1)/2 samples (where n is the filter order) from the beginning of your data after it has gone through the filter.  

For example:
Filter your data with the Alpha filter.
It is now longer by 133 samples.
Remove (133-1)/2 samples from the start of the filtered data, and the delay is gone.
Do the same for all of your filters, and you can keep the output of all of your filters in sync.

With an IIR, the delay is not that simple to account for.  Getting the outputs of you filter back in sync would be challenging if you used IIR filters.

If keeping the filtered signals in sync isn't important, you could switch to using IIR filters for all of your filters.

This would greatly reduce the computational load as well as the amount of memory needed.

As with the FIR, there are design methods for IIR that use the desired passband, ripple, and attenuation to calculate the needed coefficients so that you should be able to generate coefficients for the IIR filters that match your FIR filters in everything except having a constant delay.  

As for the coefficients, I wouldn't worry about the actual values unless you have trouble representing them on your selected hardware.  Use what your design tool gives you for the coefficients.

There are design tools which can help improve your FIR filters.  Check some of the online tools (like this one.)  Given the separation of the various bands (wikipedia entry for EEG,)  it looks to me like your current filters can't be provoding very good performance, any way.  I get only 22dB of attenuation using 133 taps for the alpha filter.  

IIR filters that sharp may be difficult to attain, and may be unstable.

It all depends on how much attenuation you need.  Since the bands are defined with only a 1Hz transition, any high degree of attenuation will require high order IIR filters or very long FIR filters.

As with any design project, it comes down to making the best compromise between performance and cost - and you need to know what performance is required.