Hello fellow diesel owners, I am new to the site and a fairly new diesel owner. I have a 2006 F250 6.0 KR w/ 70k miles, and I love it. Many hate on the 6.0, but (knock on wood) mine has been amazing. I drive 30 miles each way to work, which gets it up to and keeps it at operating temp for a while. According to my last 700 mile road trip, my computer told me 21.1 MPG, however I didn't bother to do by hand as I was hitting over the 500 miles per tank mark. I want to upgrade a few things, but not go full out race extreme.
Currently I have purchased a 3.5" MBRP DP and 5" MBRP straight pipe turn down system.

I am considering:
AFE Stage II 5R dry sealed cold air intake
Sinister Coolant filter kit
Sinister external oil filter kit ($360)...or Bullet Proof Diesel (BPD) engine oil cooler system w/ filtration ($1900).
Banks Hi-Ram and Techni-Cooler intercooler...or....Mishimoto IC w/ piping & a CMF intake elbow

Other considerations:
Sinister upgraded EGR Cooler
Ported Intake manifold (Josh's (Ported Intake Manifold | PowerStroke Doctor) or Apex (Absolute Performance 6.0 Apex Intake Manifold)
Mishimoto Radiator

Last of all, Can I put Sinister Headers (Sinister Diesel 6.0L Powerstroke Headers) on and keep my upgraded EGR cooler, or do I need an EGR delete (Sinister or BPD)
and will an SCT tuner turn off the CEL code thrown with the EGR Delete?

Thanks for any and all the help, and please, help me prioritize if these seem to be in misdirected order.