1. You already have a factory oil cooler.
2. Not sure on oil temp sending unit. There are oil bosses all over the place to tap into though.
3. Yes, but its tough to do. Better combated with proper fluid. You need to install an electric pump to move the fluid as there is not a pump in the manual trans.
4. Anywhere on the thermostat housing. The ECU reads the sender on intake manifold for water temp, the two senders on the thermo housing are for gauge + fan. Drill/tap your own or replace the gauge sender
5. I haven't really messed much with the knockbox. Im guessing there is a way to tap the dataline it uses and output a knock event to an LED. It might be more worthwhile to invest in a standalone DIY style knock detector, they exist, if you're worried about it.
6. Ditch/ignore the factory boost gauge. Generally they're pretty inaccurate. ALWAYS get an aftermarket boost gauge
7. I used to avg 28mpg on a boosted but still "stock" XR2, but if you're really beating on it expect less
8. Avoid one-wheel wonders, these cars have weak diffs. There is an LSD available that eliminates that issue.
If you're really revving out the engine keep an eye on the alternator/water pump belt. These engines like to shred/throw them. Being that the water pump runs off it, its critical