First, return the CAI. The only place they make a hp gain is on a dyno with the hood up and a fan blowing into the front of the truck. The moment you close the hood, it becomes a HAI. Hot air intake, because it pulls air from the engine compartment and not the fender well like the factory system. Dodge would not leave HP on the table from an air intake system.
Second, be careful with a custom tune. Yes, you can get a little hp out of it. Maybe 10 to 15 percent increase. But, they get it from the timing and air/fuel ratio mix. Many if not most of them make your car run rich, which is where you get the seat of your pants kick when you floor it. The down side, the mix is no longer optimal for cruising in exchange for the kick when you floor it. Gas millage will suffer greatly. Some of them will also turn off DOD and VVT which will also significantly hurt millage while cruising. So your 30 to 40 hp gain will turn your 15mpg truck into a 10mpg truck for a kick when you floor it.
Third, an exhaust system will get you FREE hp and cost you nothing anywhere else. But maintenance. If you are ok with that, this is where you will get a hp bump and not hurt anything else. Most of those gains will not come from the headers or pipes. It will come from getting rid of the cats and a better flowing muffler. You are not going to see a big bump from the headers themselves unless you increase exhaust flow significantly. IE a modified engine. So if you are leaving the engine itself stock, get rid of the cats and put duel exhaust and free flow mufflers on it for the same gain and less cost.
The down side to headers. 1- dissimilar metal expansion going from cast iron on aluminum to stainless steel on aluminum. Use lock tight on the header bolts and even then you will probably need to retighten the bolts after you get it hot a few times. 2. Headers reduce the clearance between the exhaust and the starter motor. And they do not have any heat shields. They are going to cook your spark plug wires, your starter solenoid and the starter unless you do something about them. They are also thinner walled creating MORE heat in the engine compartment for your cool looking CAI. They are going to cook any rubber or plastic near them unless you do something. So wrap them if you are going to use them.