Um, I hope you bought a truck to go with your '04 powerstroke!
I'd check out Banks Power
Banks Power | Diesel Performance and Gas Performance Products for power boosting add-ons. Their products are carefully designed not to increase EGT's above safe levels (exhaust gas temperature).
As far as an oil catch system, the last time I saw one of those was attached to a 1990 8V92 Detroit Diesel (12.0L) motor coach! It was a 2 stroke engine and randomly spat out oil. The oil was still good to use so it was stored in a catch tank (about a gallon in size, total oil capacity was around 12gallons), so if the driver needed to add oil, he'd let some ooze back into the engine from the catch tank saving himself a nice mess on his clothes. I believe it was mandated by some states to have the catch tank in place before you could drive on their interstates. A DOT inspection could cost the company dearly if they disobeyed this! It's not necessary for today's modern diesels as they're a lot more economical than they used to be.
To obtain best mileage, outside of performance parts, is to change fluids over to synthetic oils including transmission, differentials and even the engine if it doesn't burn or lose much oil between changes. If the engine oil holds level for 4-5K I'd change it out to synthetics. This will allow smoother operation of internal components (decreasing friction) and you'll be able to drive 12-15K on an oil change versus the 6-7K on dino oil.
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