As far as I was aware, the Hi-Clone was just a restrictive device in the air inlet. It's supposed to make the air swirl to improve combustion in a petrol engine. There are some significant differences with our diesels that make it less effective (if it has any effect at all - the hi-clone device has long been considered "snake oil" by some).
First, diesels don't use a butterfly to control air, they need as much air as possible all the time, and the fuel is injected right at the point where it needs to combust, so there's very little time between injection -> combustion - so any swirling motion of the air way back in the air intake is going to be pretty ineffective.
Second, they're turbocharged and intercooled. The turbocharger pressurises the incoming air, forcing it through a series of narrow apertures which would effectively remove any effect imparted on the incoming air.
Chipping it is different. Most chips raise or lower the fuel rail pressure as needed. It works like a garden hose - you turn the tap on a little, and a little water comes out, turn it on a lot and lots of water comes out. Every chip that I know of will RAISE the pressure - which uses more fuel - some chips will also LOWER the pressure, which will conserve fuel. Chips that do both are the ones to look for.
Some chips - notably the ChipIt chip - also control the turbocharger vanes in the D40. Bosshog has had good experiences with the ChipIt chip, and Robert (from ChipIt) is a contributor here who takes the time to answer questions without a lot of bull.
I would suggest that your very first mod should be the EGR block. It's cheap and easy to do, just make sure you use stainless steel for the gasket replacement and only use sensor-safe Permatex Ultra Blue gasket sealant.
Fitting a catch can now will stop your intercooler filling with oil, too. It's one of the next things on my list, but with over 55,000km on my 2009 Navara, I'm going to be chiselling out the goo from my intercooler.