Changing to a K&N is not only the easiest modification you'll ever do, but its also completely and easily reversable. You don't HAVE to build a heatsheild, although it will help if you're sitting in city traffic on a hot day.
At the very least, get the MAF adapter and K&N, it'll make the car sound really sweet.
KKM is, well, ok. For about the same price, you can get the K&N and MAF adapter and you don't ever have to worry about it imploding. Also, IIRC the flow characteristics of the K&N are much better than the KKM
