Short answer: yes it will help, but NOT for your issue (echoes Krankin).
As Longy says, you need to be sure you're actually in 4LO. In 4LO, your car should be able to pull a small truck up the boat ramp and barely notice it.
In the manual gearbox: engage neutral, press foot on brake, shift into 4LO. You will hear a clunk as it engages. Once engaged, 3rd gear will feel like hi-range 1st. Try it without towing.
I wouldn't ride the clutch too much. If it gets too hot, the dual mass flywheel will overheat and scorch the clutch, destroying it.
The EGR mod affects mid-range throttle only. At idle and full throttle, the EGR valve is closed anyway. Improvement in response throttle & turbo, power and fuel economy may be noticeable but are very marginal and certainly nowhere like the kind of boost you get by installing a chip.
Oh, and if you're thinking about a chip ... get a single-mass (solid) flywheel and HD clutch first, or the next thing you'll curse over is the D40 stranded on the boat ramp with a burnt clutch.
