I'd start with things that will be relevant at all stages of a build. Exhaust to free up breathing room for turbo, more efficient intercooler (I chose efficient very carefully as a word because larger and more piping isn't always better).
These will last with the car in case you decide not to go with getting forged internals and bigger injectors and bigger turbo etc. Once you go into building the internals with forged pieces with bigger turbos, it's best to do it all at once with a standalone ecu, proper fuelling, and proper cooling, then dyno it all at once. The reality is the more safely and properly you do it, the more expensive it becomes.
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