you're not going to see too much gain from just switching to an external wastgate. Maybe a little but with a stock turbo, you're just not making enough power to really warrant a fancier piping solution. You should consider an external wastegate for larger turbos and more aggressively tuned cars. The 06-07 have bigger motors which generate more exhaust gases and have more issues with the stock internal gate however the 02-05 don't really bottleneck too much through it.
Basically, on a TD04 EJ20, an external wastgate is overkill. You'd get more gains from removing some random weight by going on a diet or cleaning out your glove box. The 06-07 WRX will probably see some small gains with tuning but nothing worth the cost of parts and headaches. Either car when switched over to a larger turbo though will almost require it.
04 STi 16G powered lagless fun
04 WRX: SOLD