putting an FS-ZE into a domestic protege requires a TON of work. the FS-ZE also generates more power due to their intake manifold.
the 626 intake mani will give you more top-end, but you'll lose the bottom end you have
as far as cams, if you can find some 'twiggy sticks' on the forum, those are VERY nice. i know protegegarage.com has some from integral cams...and there's always the cheaper jdm cams.
if you can find a 4-2-1 header, i'd jump on that...but an obx 4-1 will be cheaper and easier to find.
my old mp3 had an injen cai, obx header, catless with a side-exit exhaust, twiggy cams, 1.8L coils, UR underdrive pulley, awr front motor mount, eibach sportlines and a cp racing 3-pt strut bar.
i enjoyed that car more than i do my msp...but i had to see one or the other and the mp3, being cheaper, sold first.
if you're going to boost in the future, the higher compression pistons won't be a good idea.