Hmm, maybe not quite in that order but basically you're on the right track.
For power try air filter and exhaust for starters. You have to think carefully about where you want to go because the fuel pump, injectors, turbo and fmic upgrade are all dependent on power figures you're aiming for. You can fit the fuel pump and the fmic without getting a tune but you wont see much gain (as they are supporting mods) unless you add some more boost on the stock turbo.
Turbo and injectors requires tune and that's when you'll see some serious power.
Work out your power goal first then buy/build accordingly. The Turbo, injectors and tune really need to be done all at once. The rest you can do without upsetting existing systems too much.
Don't forget that you may need a clutch and you'll probably want better suspension and brakes also.
Have a look through the forums as there's a boatload of R32 lovers here all who have done the same things you're talking about.
Check the RB20DET turbo thread for turbo options.
Cheers