welcome to the site!
it is when you are towing.....if the coal is constantly rolling out the pipes, molten peices of turbo and pistons will follow. a good towing tune on a chip would be perfect, and really wake the thing up.
dp tuner, and tony wildman are favorites around here for chips on the OBS.
if you are doing turbo work, maybe get a smaller turbine housing to spin it a bit more
for exhaust, more important than anything else, you MUST put a 3" downpipe on it. the factory one is shaped like a cobras head, nice and flat!
most people are making thier own intakes really cheap, search around and you will find some posts with pictures. its really easy and comes out great.
also, if you are getting a chip, you will need gauges - pyro and trans temp so you know you arent cooking anything. boost gauge is fun to have also.
search around and ask away