ok with the info you've stated. Factory striaght exhaust doesn't exist they all had a cat & muffler. the muffler is acceptable the cat should puke it's guts to help egt's & quicker spool. the turbo housing (.84 a/r) will help you build boost faster though it will also creates a restriction for high end power be sure to tell your chip programmer you have one and they can use that info in recommending a program.
a flip chip from tony or dp tuner will be great w/ stock injectors power levels aren't such a wide range that you need more than 3 or 4 positions including your high idle.
The cold natured problem can prob be fixed with some service to the gp system.
The K&N isn't good b/c of the poor sealing nature of the factory airbox. look into a homemade intake or one from tymar performance.
Looking long term either you can get a flip chip or an intercooler both will allow you to run whatever you want right now with stock injectors. the IC will lower your egt's enough that you'll be able to run w/ the stock injectors maxed out (your big hoss chip) (other programmers can give same/more power w/ lower egt) the inexpensive intercooler option is any superduty intercooler 7.3 or 6.0 and a kit from
www.gtsmotorsports.com for the tubing & intake.
the banks transcommand will be comapatable with a chip but you'll need custom programming. most of us prefer internal upgrades (transgo or sonnax &tricumulator springs) to take care of the trans as they are direct fixes.