the best bang for your buck to up the power is nitrous hands down. it can be dangerous if not done correctly but its the cheapest power upper that actually piles on the power. for fuel econ and a little more power get an sct xcalibrator 3 and talk to tom for a tune.
Don't know where Mazda got their info. but, it's interesting. At Ford we were told that an internal combustion engine is, basically, a big air pump. Air is sucked in and pumped out. The "Clean Air Filter" screams of adding an SRI or CAI and, assuming that they allow more air into the engine, a better exhaust would follow (more air in- more air out). This, followed by a good tune, would seem to fall into Mazda's guidelines and, common sense!