IMHO..
First and foremost if you don't have them gauges including EGT, and Boost.
An upgraded HPOP (High pressure oil pump) such as the adrenaline from Dieselsite is worth it's weight in gold.
A modded IDM is also something that will dramatically increse your ease of towing.
Get custom tunes from Jody Tipton @ DP-Tuner
The air bags are a must do in my opinion especially with a 250.
The intercooler can be purchased used from a newer 7.3 (99.5 to 2003) but you will have other items that will need to be purchased as well. This is a must do item for controlling EGT's.
The sensor that was mentioned is actually a Cam Position Sensor (CPS) and yes you need to put a spare (Motorcraft version only) and a 10mm wrench in the glove box. These aren't more than $25 any more so it is cheap insurance.
Water injection is really nice if it is in the budget but not mandatory by any means.
A quality exhaust system is also on the must do list.
Change all of the fluids and use only Motorcraft filters.