yeah for a tune only on a 4.0, even if you gained 8rwhp, you wouldn't feel a difference. Even a custom tune, like mine from breenspeed, they really can't throw 100% at it. A dyno tune and they can squeeze everything out. Even for our V8's, just a tune makes no huge gains. Even with my mods and tune, I don't feel like it's crazy fast or tons of HP now. Though I'm use to Cobra's and Lightnings.
Also shorty headers will never yield nothing but usually an average of 5rwhp on mustangs, so I know they won't add more on our V8's and def nothing on a V6. They are pretty much a last resort for guys that have mods and want to do something even if it's 5rwhp or cause they can't afford long tubes. Sound will change a little with shorties though.
For cold air intakes, they still work. I've datalogged it a crap ton in cold and hot weather. Yes, you do suck in warm air and your IAT's are increasing but that's at a stop sign, red light or drive thru..where performance doesn't matter. The second I would start driving, the IAT's would stop and start decreasing. The faster I went, the faster the IAT's would drop to normal operating temps. You have to remember that you do have ram air coming in so that the engine heat does escape from under the vehicle or back of the top rear hood. I did leave my rubber air director in, have the filter angled pretty close to it's area and did add a heat shield that I had extra from my lighting jlt intake.
The biggest issue you have to hurdle is the weight. And if you have a AWD all the time system, that makes a difference too. It's hard to gets these vehicles moving when you weight around 4600lbs vs say a mustang at 3600. And you can tell cause my 05 Mustang GT stock was 300/320 and my merc is 292/300. And with my mods, I know my past 05 Mustang would still smoke my merc.