gravel will get sucked up, but not all the way. it usually gets about halfway up the rigid plastic tube on the siphon, then drops back down. you want the gravel to be picked up and stirred around so that more the junk in the bottom is released into the siphon.
switching substrates isn't all the important unless you plan on going with a lot more plants. if you're happy with the marbles you have now, stick with them. if you want to change, there are a few threads on how to change it without emptying the tank or stressing the fish. you should be able to find them with a quick search.