thats a loaded question honestly. if there were one magic answer to this, everyone would be going turbo and running big numbers without fear of blowing the engine to smithereens.
take for example the tripoint kit like what is shown on my site. tripoint spent the better part of two years putting this kit through its paces and logging alot of miles on the stock engine. they came up with a tuned kit that supplies a good amount of power safely with all the right components. yes, you're spending $4000, but thats $4000 towards peace of mind as well as horsepower.
engines blow for simple reasons. when it comes to turbo, engines blow when you run them too lean from too much boost (air) and and not enough fuel to keep your intake and combustion charge cool. lean running engines with increased cylinder temps from a turbo lead to cracked pistons, snapped rods, broken rings and likely a hole through the side of the engine. another thing to remember; these engines are not built to the same spec as what you'd find under the hood of a Formula 1 racer. mazda engineered the engine with commuter car econo box purposes in mind and that should give you a good idea as to its limitations in stock form. even if you tune it well and run richer than you need to, it is still possible to make more power than what the pistons, rods, etc can handle before they snap from sheer overpowering.
what you'd want to do is this; buy a kit like tripoint's and run it in the form that they ship it to you and be happy. or prepare to build your engine top to bottom to accept the higher horsepower you crave when you start to voluntarily exceed the limitations of that kit (example - raising the boost pressure)
