i would do the exhaust and cold air intake, followed by headers if you want more.
by gears i meant gear ratio. my car came with 3.23's which are good for a daily driver, would rev about 1400 rpm on the interstate going 70. now it has 4.10s which accelerate a lot quicker, but it revs about 2400 at 70. i didnt know exactly how steep they would be, i dont really have a first gear anymore. its basically just a tire spinning gear. if i start in first from a stop, i have to shift to 2nd about 15 mph if im getting after it, less for normal driving.
and i can't floor it, to keep traction i give it about half or 2/3 gas in first. the best balance seems to be 3.42 or 3.73 gears, but those are chevy ratios. i've never owned a ford.
dont expect a lot of improvement though, you'll probably feel it, and will definitely hear it, but i'd say you'd be lucky to pick up more than 10 or 15 hp with exhaust and a CAI. probably another 5 or 10 with the headers. if you dont have the cash to get good headers, wait and save up more. dont get
ebay or swap meet junk unless you know what you're looking for. dont want to choke up your nice new exhaust with some shitty headers.
once you do that, maybe look into an adjustable fuel pressure regulator and pick up a timing light if you dont have one, start doing a little tuning, learn about how your engine works. you'd be amazed how much of a difference a good tune can make.