I know a little about RX-8's and your best bet is to go with the greddy turbo kit moneywise, unless you are just stuck on keeping it N/A. N/A wise you will not get much power at all with bolt-ons(it's like modding a D15 civic engine). Plus bolt-ons are fairly expensive for that car unless you use american parts manufactures. Don't waste money on a header, they are over $1000 and give you little gain. Focus on intake, exhaust, pulleys, flywheel, ignition, ground cables, and a good tune. Also, run drivetrain oils like Royal Purple, and get the lightest wheels you can. Weight reduction in these cars would be bang for the buck, pennywise.

I could go on, but i have to run.......