I would start by getting the EGR cooler issues addressed.
After that, before adding power, get a ScangaugeII or Edge Insight CS/CTS and see exactly whats going on under the hood. No use making no power if you're gonna blow gaskets.
How much power are you trying to make. Much more than the tuner, and you're going to be looking at headstuds. Here's a basic run-down of the various size injectors and their power bands:
155's - Powermax - ~480RWHP - Preferred for those that tow heavy
175's - Powermax - ~520RWHP - For those that still tow moderate loads
190's - Powermax - ~550RWHP - Pushing the upper limit of the Powermax, and starts to show the weak points of the 5R110 Transmission
Bigger injectors will require a bigger turbo, and upgrades to the transmission. Again this is a big picture post. Most injector jobs have a bit of supporting mods that will go with it.