Hi Gary,
I know the feeling, I'm still recovering from buying tyres! I'll let you know when I am next venturing out on the track and you are welcome just to come and take some passenger laps before you decide if it is something you want to do.
I am doing some tests on air filters at the moment. I think the main advantage of the K&N's is that they are reusable - you can wash and re-oil them. I don't think there will be much, if any power gain.
My policy used to cover trackdays, but not any more. For the first few events I organized separate cover at about £100 for £12000 cover. But more recently I have just taken the risk as I know the venue well and the group of drivers. It's always well run and track etiquette is always enforced. I also tend to pick my time when to go out on the track eg. wait for the first half hour until everyone has calmed down and found the lines; to be honest I think you are at more risk on the M1 on a Friday night.
A full day at Bruntingthorpe would be in the region of £200 including the £100 insurance. I normally use a tank of fuel and if your tyres are in good condition you won't take too much out of them especially on your first event when you won't be doing a high number of flat out laps.
As for mods I don't have that may permanent mods as I am constantly fitting and removing stuff as I develop it. I have a very good insurance broker that I can just phone up and make changes to my policy (Norwich Union) as required. I have 4 modified cars on their books so they are used to it.

I am definitely paying too much compared the likes of the online brokers but I need the flexibility so can live with it - just.