From what I've gathered, the MX is about 2 lb lighter, and that weight is all in the sidewall. In our heavy cars, you need that sidewall thickness to prevent deformation and keep the tread on the track/airport/parking lot. However, the problem with the Azenis is that they go off as they warm up (turn greasier) and the MX is poorer from the line and gets better as they heat up.
On the standard autox course, you need the immediate traction, and in my experience, they don't go away unless you do several hot laps immediately after each other without resting. A trick that I among other use is to spray them with water from a pressurized garden sprayer between runs. A bonus of this is that you get to wash your hands after using the portajohns
What I would recommend doing first off(after improving tires) goes against what Fred Puhn recommends (a bigger sway bar) just because our stock suspension is so soft. I'd go with Konis/Bilsteins and H&R's/Eibachs and a camber kit. This isn't a cheap upgrade, but the difference is night and day. Then upgrade your sway bar next, then look into different intakes/exhaust scenarios, then maybe go for a rear strut tower brace, and last (and probably not necessary) a front strut tire brace.
One more caveat thought about tires: If you're doing double duty (daily driving and autocrossing) DO NOT DO AZENIS! They're for itshay in the rain on the interstate! For this application I would have no problem recommending the Kumho MX over the Falken.
