Dieseljunky...cold air intake serve more than 1 function... the amount of air they can flow will determine how fast your egt's rise plus your not trying to compress hot air... they are 100 % worth it. Depending on which one you have, you may or maynot get a bump in mileage, you will get a faster spooling turbo.
At one point during my modding, I had a cat delete/30" magnaflow setup... every time I used the AFE Stage 2 kit, mpg dropped. turbo spoolup times dropped significantly, egt's dropped vs the stock airbox and when cooling down, egt's dropped very fast. when I put the stock airbox back in for mpg purposes (long trips, no towing) mpg would go back up about 1 mpg and egt's would take a long time to drop during cool down.
Colder air is not the main goal with the CAI on a diesel, flow is. The other thing to mention is the intake temp yields the most power when it's between 100-110 deg IMO based on my butt dyno and reading the IAT temp on the Attitude monitor when I had my edge. Go colder or hotter and you can feel the power drop off.
to the origianl poster... Welcome to DF...
cheep mods include the Rokktech timing sensor ($70) that will get you about 1~1.5 mpg, or an Edge EZ will do the same but also give you more power options. these are a good place to start. My setup... ATS intake manifold, AFE stage 2 w/PG7 filter, Aero 4040 where the cat used to be, 30" magnaflow muffler, TST powermaxCR49, I have great results with it and the only thing I'd change now would be a the turbo & head studs... to something that would get me into the upper 40's low 50's for boost.