Yes keep the removed parts.
Some of the exhaust components can bring a pretty penny from scrap metal recyclers.
Stainless steel exhaust is a waste in my opinion, I have it on my Duramax and wish I would have opted for aluminized pipe and saved some money.
I would delete and not go with an after market programmer, keep it simple.
Adding more power will tempt your right foot and that could result in broken parts.
There are many good diesel shops around, Kory Willis at PPEI, Duramax tuner, Rob at ATP, do your research because a bad shop will cost you.
FYI, ATP does not do efi live anymore, epa has put the clamps on them as they probably will do for many aftermarket diesel programmers.