My two cents is use OEM gaskets everywhere, the ones that come with aftermarket UP's and DP's are usually crappy laminated ones, and they will fail (ask me how I know, D'oh !!)
+1 on the o2 sensor advice, it's a pain. I bent a wrench just for that task, but you can buy one with the correct angle too. Having done that job twice, I can tell you, plan on a bit of a long day (4-6 hrs) and have a fresh can of PB blaster ready. Be careful with the banjo fittings for the turbo cooling lines too, they can be brittle.
Heat wrap the UP and DP and use the turbo heat shield, even if you have to modify it to fit, as heat soak robs our cars of power. ...guess that might've been more than two cents worth, huh ?
'02 wagons rule !