For sure do the air intake ! I have the Banks Ram Air on my truck works great.
For sure do the exhaust ! 1. this will help alot with keeping those nasty EGT's down a bit. 2. If you want to take it a step further , do a complete exhaust system, turbo back. Depending on your local emissions laws..(..don't get me started on this..) you can do a cat delete. Some unincorporated areas do not require emissions on vehicles. Doing this will let the hot gasses exit out faster with out the restriction of the cat. No laws on removing your muffler. Now if you do a complete turbo back, kitty/muff delete, yes your truck will sound very agressive...loud , when you get on the throttle. Some like it , some don't. You can get less restrictive mufflers that will keep the db's in check and still flow great and provide a nice deep rumble. Do a minimum of a 4" down pipe to the cat ( if you keep it ) to the muffler ( again if you keep it ) to the tail pipe. This is a start...the rabbit hole goes much deeper ;D!!! None of this will void any powertrain warranty. Where all trucks especially trucks that tow; where we loose most of our hp and tq starts at the torque converter. The stock converter slips...alot. This does not allow all of the engines power to be transfered to the tranny and to the wheels. As great as our Allisons are, this is her achilles heel. Obviously if you do an after market converter your powertrain warranty with GM is gone, but most of the companies that provide these offer warranties. Mine through ATS is a 5yr/100,000. So it's really a wash. But getting into the torque converter and tranny can get expensive. A full set up with torque converter and upgraded tranny starts around $2-k and goes way up from there. If you decide to do little stuff a good thing to get would be whats called a, " Transgo-jr " it will apply more fluid pressure to your clutch plates, minimize slipping and allow for more power to be passed into the tranny...resulting in better fuel usage. Banks makes a great programmer , the Otto Mind. Great for those that just need/want a little more for towing.Banks really puts alot of time into their products to ensure a safe reliable operation. Lots of built in safety peramiters. No not all hp gains result in a decrease in mpg...simply not true! This is an easy plug and play, and can be removed from the vehicle in minutes with no trace of it ever being installed on it.
Sorry I'm on a rant again...!
3 things that will kill a diesels performance/mpg
1. not enough air
not enough air tells the truck no more fuel, no more fuel, you press the accelerator down more and just end up dumping in more fuel than the truck will burn.
2. Not enough fuel
if your truck is not maximizing the fuel input, you loose power and waste fuel and $$
3. Elevated EGT's ...Exhaust Gas Temperatures
Diesels hate being hot. Get those gasses out as fast as possible. The exhaust system is the start. I really noticed a huge change when I changed my manifolds and up pipes. Lowerd my egt's by almost 250* !!!! Then you get into an after market turbo. Our VVT is a good concept , but are restricted by lack of volume. Again, a bigger turbo means more hp , but it does not mean a lower mpg usage...just the opposite. What you would be getting in mpg at 2/3 throttle with a stock turbo you will get more at 1/3 throttle with an after market. More volume + more psi= less fuel needed to maintain same speed.
Like I said this rabbit hole goes very deep. I am putting down around 600hp and 1050tq at the wheels. I race this truck...on the track :
, use it as my daily driver, and tow what ever I want. But I also have spent close to $12-k to get it to this point
Not saying you need to do all of what I did to gain mpg's but at a minimum do the intake, exhaust, and a mild programmer directed for towing, and get some guages so you can monitor your egt's, turbo psi, and tranny temp. Oh...do a deep tranny pan. 2 1/2 times bigger than stock. My tranny temp coming home from Tucson to Denver never got over 195*.
I hope some of this helped.