Welcome! New member myself, but I had an R33 back in 2002.
Best advice I could give, based on my experience: if you're running the factory turbo, be very conservative with boost. I made the mistake of just fiddling around with the boost controller and cranking the boost for fun, and the end result was my intake pipes popping off frequently from the constant deluge of oil that was being blown into the recirc by the stressed-out turbo, which itself was siphoning oil from the engine and farting it out both sides of its centre bearing (or something to that effect).
If I could do it all again, I would have gotten a new turbo and had a tune dialled in professionally and then just left it alone!
Funny you mention the metal shavings in the gearbox, as I had the same thing - the probe plug (magnetic drain plug, essentially) would come out caked with shavings. At least it was doing its job. Not sure if that's just sacrificial wear and part of the deal, or if my gearbox was shagged, but I wasn't abusing it.
Enjoy the R33 - they're a dying breed, and if they weren't $35k+ on CarSales in Queensland, I might have picked up one of those again, instead of the 370GT I own now (though I'm loving the 370GT, that big 3.7L V6 just hits different).