Like you said, pictures would be greatly appreciated. However, the EGR cooler is under the right side of the intake manifold. 99% of all deletes remove this. The other 1% uses freeze plugs to cap it. The EGR valve is behind the elbow to the left AS YOU ARE LOOKING AT IT.
If the EGR cooler is there (and not freeze plugged) but the valve is gone, it was a waste of time. Further, some 2003s, like mine, need to see the EGR cooler to cycle the turbo at idle (screams then rumbles, then screams, you know, in a cycle). If yours isn't doing this, the good news is that plugging in a used valve and laying it on the intake will make it cycle properly, been there, done that.
As usual, you're going to need to check you EOT and ECT temps to determine the health of your oil cooler. A Scan Gauge II is good for this, but the Edge CTS is REALLY NICE. Being as it's a 2003, it's probably clogged. More bad news, 37s are not going to work with a front leveling kit, 37s require a 6 inch lift. There's a BIG difference between making them fit and making them work.
Seeing how as the OEM exhaust was 3.5, I'd look into a 4 inch exhaust system with or without the stack. Going to a 4" exhaust (OEM is 3" down pipe into a 3.5" pipe) will help with EGTs. The way that you entered it looks like the factory exahust was cut and a u-pipe put into the bed for a stack. I could be wrong, but that's how it's written.
At any rate, I doubt that you will have any questions that haven't been addressed on the Org somewhere already. EOT/ECT splits, EGR stuff, which air filter to use, and how much tire can be used on a leveling kit get beat on pretty regularly.
Welcome to the Org, you're going to have to try to not learn something here, there's that much good info to be found.