First, Welcome to the TDR.
The 4" exhaust probably wont do too much for your power, it is still a good idea, as stainless will last quite a while. Just make sure its a good grade, up to T304. I`ve seen some stainless mufflers rust out in less than 2 years due to cheap stainless.
I`m not sure what the stage one afe is, I think it may be a drop in filter in the stock airbox. If this is the case, I would highly recommend a BHAF replacement, which replaces the whole airbox. Much cheaper than the other afe/etc washable type (40$ compared to 150-200), and filters better than a K&N. The fleetguard part number is AH19037, available at any cummins dealer, or at
www.fleetguardfilters.com. You can find install instructions here by doing a search. A better air filter is about the only thing that may help your mileage, other than the right foot method. A valve adjust and mebe a injection pump timing bump may give you a little back also.
As Dieselnerd said, a transmission upgrade is a very good thing. Depending on how many miles you have on your stocker, you may or may not have a problem with a power upgrade. If you have driven it 'normally' and not raced around, you're probably fine with a medium plate upgrade, say a #10 or #11. But you -must- install a boost and EGT gauge before upgrading. At the minimum, an EGT gauge. A quick and easy boost for power would be to remove the AFC housing, and slide the stock plate forward. Also take the large allen head screw off the AFC, and adjust the star wheel 5-10 clicks toward the passenger side.
A transmission upgrade is like night and day on these trucks. The stock torque converter does not transfer enough low end power and just slushes around. I recently upgraded mine and I would -not- go back.
good luck
-jerry