no, you use the filter from a MAZDA6, if you're going to do anything other than get a good filter. I would suggest just using a K&N or a Bosch Premium (or just the Mazda OEM filter is supposed to be good) and using the proper size. if you do go bigger then make sure to add more oil as well.
no, you won't get any HP from it (headshake
edit: feel free to search for things like this with the "search" button. just type in a generic set like 'oil filter' and you'll get much more information.