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Eventually a K&N filter and an open air lid will start to make a difference.
One night a friend and I were playing around on the dyno. We'd got all the tuning straightened out but we weren't being charged for our time so we thought we'd run a little experiement. I put my K&N filter and open air lid on my friend's nearly stock '92. He had 1.6 rockers and long tube headers, he gained 2 RWHP.
We put his paper filter and stock air lid on my car and I lost 11 RWHP. My car had heads / cam / headers / exhaust, etc.
So yes, EVENTUALLY it makes a difference. Unfortunately I don't know exactly where the point is. I imgaine it's a gradual thing. Every little bit helps. Don't spend the money looking for a huge seat of the pants difference.