Hi. Glad to see another addition to the M42 ranks. I've had 2 over the past year and a half. The first one I had my buddy was working on with me. He lost one of the headlight retainer springs so for about 3 months I drove without the driver-side hi-beam. Honestly I had an issue with mine that seems to be what you want to do with yours. I know it seems like it looks cool, but I didn't notice a bit of difference in power with our without the headlight in. The amount of air your getting from around the headlight assembly and grill, let alone the air from under the car, is plenty for the power.
If you want to try to gain some more power quickly, removing the power steering belt helps. There are some different schools of thought on that and one of the big deliberations with me is that my mechanic step-father and BMW state that with the power steering pump not running it can deteriorate the system. But all the guys I've talked to in here and in my local area say they haven't had any issues with it being disconnected. (I'm going to get with my mechanic on that issue though. I'll get back to the forum on that). Also high-flow cats are nice (picked one up for $30 from an exhaust website).
These engines are pretty high-output as a stock engine, it only gets more power and fun the more you add to it. What all are you wanting to do? Is it going to be a commuter car (gas milage) or strictly fun (who gives a crap about milage).