Look at the pic of the inside of EGR cooler.
It fails in there frequently, so you need to either seal up the ends (where the exhaust goes in and where it comes out), or you need to get rid of it completely.
When the cooler fails, it flows coolant into your intake or thru the up-pipe back into the cylinders.
Both are disasters and your truck will likely have major damage or leave you stuck on the side of the road.
The outside of the cooler is really tough, so if you can block the ends, it will keep the coolant inside even if it fails.
I needed to keep the stock look for warrantee purposes, so I used the sneaky pipe with the block-off plate for the exhaust up-pipe side, and I used the solid aluminum plug (the one from eBay) for the intake manifold side.
Even if the cooler fails, the coolant will not be able to leak into the engine, and the exhaust gases do not go into the cooler at all. The EGR valve can remain plugged in, just use one of the original EGR valve bolts and secure the valve to the small threaded hole on the side of the intercooler elbow (right next to the EGR valve location).
I cleaned the valve and put a little spray lube on it. With stock tuning, it will open and close normally.
I use a SCT x3 tuner with Innovative DIesels custom tunes (they're freakin' awesome!) so the EGR valve remains closed and no CEL codes are thrown.
In 2004.5 and above trucks, you'll need to keep the valve plugged in or use the SCT tuner to prevent the CEL.
There are many ways to remove or block off the cooler.
If you're a decent mechanic, you can do it for really cheap: weld the EGR valve closed, cut the scoop out of the up-pipe (2005+) and plug the cooler entrance.
The EGR valve/ EGR cooler are probably the most problematic parts on the 6.0 PSD.