Welcome, I am new to the PSD too, but I was greedy and wanted some performance from the word go, now I am paying for it to the tune of $2,600.
Like 07Outlaw said, start with some preventitive stuff first. There is a big list, and it will take some time, but not too expensive. Adding to Outlaws list, banjo bolts, synthenic oil with some Rev-X--this will help clean up your stock injectors if they are sticking, coolant flush/filter....The above would take a full weekend to tackle and about $350-400.
EGR delete or BP-- The delete will cause the engine light to come on and you will need a tuner to turn it off, BP is Bullet Proof in case you need to pass inspection, however, there are ways to delete and give the appearance of still having it--When you do the EGR delete or BP, you may as well do the following since you'll be in pretty deep...STC fitting, dummy plugs and stand pipes, cleaning the turbo...This is will probably take a full weekend, all day both days and around $1,000 depending on what parts you end up with and a tuner with custom tunes--On that note, SCT is the best tuner for the 6.0, search it and you will see...
Like 07CCPS said, start with lots of reading. You can search any of the above mods and find tons of info and opinions, as well as tips. Also find the tech pages, they have lots of good info too. Ask lots of questions, we were all just starting out at one point and were in your shoes.