For a "cold air intake" most of us just run a cone air filter instead of the box. They sell adapter plates that connec to the MAF, so you just bolt off the boxy air filter, bolt on teh adapter, then bolt the cone filter to that. K&N are okay filters, but watch out, if you over oil them the oil will get all over the MAF messing up the readings, not enough oil won't give you enough flow.
The only "real" difference is maybe a 1-2mpg gain, if that, if anything, but the most significant improvement is the sound when you put the pedal to the floor, Sounds a lot more throatier and mean.
You can pick up the adapter/cone at your local auto store most times. Good Luck.