Supposedly the crossover helps smooth engine idle...
the AIH delete is a common place to put in a boost fitting so you don't have to tap a line... you can find the plugs at a plumbing store. Will be cheaper.
as far as headers -- headers don't gain you ANYTHING on a diesel for the amount you have to spend on them. Remember -- the outlet on the turbo is where you exhaust is leaving the vehicle and by opening the downpipe up allows the exhaust gas to flow more freely. So a 4" turbo back system is VERY helpful.
I have no idea about the thermostat...