welcome to the forum!, as far as the exhaust it basically personal preference. I plan on running straight pipes on my SD when my muffler goes.It will not hurt compression or anything else. With turbo diesels it is actually better to have a free flowing exhaust.
As far as the cone filter instillation, i have one installed on my SD as well. it will not increase your mpg or allow more air into the turbo. however, i do notice that the turbo does spool up faster. " it also sounds extremely good"
Now, with the combination of a free flowing exhaust and the cone air filter. u may notice a small increase in mpg and power."dont expect miracles"
If u really want more power u are going to need to add more fuel along with increased boost and possibly an intercooler.

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82' 300SD