Yea if the space that the wall is in is occupied or used at all you should definately use conduit or cable rated for that purpose.
As far as anchors go, I have recently purchased a Remington powder actuated driver. It was about $45.00 at Lowes. It uses .22 caliber loads to drive the pins (nails) directly into the concrete. http://www.lowes.com/lowes/lkn?actio...720&lpage=none
Very quick and easy to use. I have also herd that you can rent the driver and just purchase loads and pins.
Although if this is the only time you will be putting fastners into concrete you may want to use the cumbersome method of drilling and screwing. If thats the case I would say tapcon is the easiest. Red Hats are the more trustworthy in relation to holding up to stress over time. But they are way more expensive.