I'll chime in a bit here..
I turbo'd my P5 this summer, and I love it. It set me back about $1500 total, which wasn't that bad.. considering that if I sold my P5 and bought a MSP it would've been a difference of about $4-$5K instead.
The turbo "kit" itself cost me $1000 even, and that included the turbo, manifold, lines, FMIC & pipes, FMU (BEGi FPR & Flyin Miata voltage clamp), gauge pod and gauges. Then I just had to buy a BOV, wideband, boost controller, oil cooler and lots of random bolts, connectors, wires, etc. (that stuff adds up..) So in the end it cost me about $1500 with EVERYTHING!
Installation took about a week. If you can dedicate 4 straight days of work, you can definitely pull it off but I had to work at the same time so it took me a little longer. Very straightforward install if you go with the MSP setup. Everything bolts right up and the oil/water lines are a breeze to hook up. I also went with the MSP oil cooler (see article
http://www.protegefaq.net/msoilcooler/ ) because under any amount of boost, I would highly recommend having at least SOME type of oil cooler. Otherwise you'll be burning through oil way too fast.
As for fuel management & boost I say you stick with the MSP ECU and 6-7 psi if this is going to be your daily driver. I drive my car about 300 miles a week and have had zero problems since the install. The only snags I ran into were a few oil leaks, one was a bad gasket on the oil return adapter off the turbo, the other one was my stupidity of not tightening the drain plug all the way. Unless you can afford forged internals, I wouldn't suggest going above 7 psi. You can probably get away with it, but why tempt fate if you don't have to? I'm at 6 psi and the car feels great.. and if you're not satisfied with that amount of power, then forge the internals first, invest in a SS AFC, and THEN up the boost. Anything above 8 psi on stock rods is just asking for trouble, but I say you stick with 6-7 if you want to be
reliable.