In all honesty I'm not very knowledgeable on the Lima engine, mainly because I don't have one. I can't pinpoint exactly what I would do, but if I owned one I would look into CAI, and Exhaust (as you've already done), E-fan, coil, & under drive pulleys. Depending on how far you wanna go you can port and polish, cam, turbo... I think Ford even had a turbocharged & inter-cooled 2.3 in Fox body, and some of these parts may be worked to fit your two plug engine (any Lima guys wanna chime in)?
Again I have no clue what is best or what works for the 2.3, but spend some time reading the forums and past threads. I do know that for the money and time you won't see much performance gain with new headers. I would still do it though if you plan on building the engine more in the future.
2002 Ranger XLT 4.0 4x4 & 285/75/16's
Did the "roll truck onto it's side" Mod