as said above make sure all is in good working order first
fix any broken vacume lines any bad wireing , leaks etc
prob a good idea to take a good hard look at the brake lines under the car and the hoses
fix anything that causes the car to give fault codes
then , get a wide band air/fuel gauge so you know if any mods you do cause it to go lean - that will kill it quick
easiest perf mod is a bigger exhaust 2 1/2 -3 inch - I don't recomend trying to change the exhaust outlet houseing on the turbo though - untill later when you happen to have the car apart for other things as the bolts have a bad habbit of snapping off when you try to remove them
better to try that when the turbo is on your work bench then the back of the motor
if the motor has NEVER been apart I might recomend a freash head gasket as the orig ones tended to rot around the water passages - they blow out easy when over heated when they are like that