Before Making any Upgrades
Adding more excitement to your rotary can greatly enhance the enjoyment you get from day to day driving, as long as it's running. As many rotaries are getting older, more preventive maintenance is needed to keep them on the road. Remember that many aftermarket parts are sold under the assumption that your car is in "good as new" condition. No matter was trick parts you buy and how much money you spend, you aren't going to go any faster than anyone else if you are broken down on the side of the road. The harder you push the car, the faster it will break, even when you do it right. It's something that you have to accept when you modify your car. Typically, an air filter and exhaust won't harm reliability, but beyond that, be prepared.
One thing that makes the rotary stand out above other sports coupes is the fact that it's a complete package. A powerful, smooth engine, excellent suspension, brakes to handle it all and looks to hint at what you've got. To only tune one part of this equation throws the whole car out of balance. Of course, in America, we seem to focus more on straight line performance and less on the rest. Not to say that's wrong, just not the same philosophy I think Mazda used when they designed the car.
How far you really want to go
Tuning a car is full of compromises. You must decide if you are willing to give up either reliability, performance, or a whole load of cash. You will almost always lose one of those when tuning. Also remember that repairs will seem to come up much more often as you strive for even more performance.