You can't just use ANY intercooler, it has to fit and it has to flow enough - but that does leave a LOT of options open. Someone on this forum has fitted the intercooler from a Ford XR6 Turbo to his Navara - it's a bit large but it will do the job (both cooling the airstream, and catching broken turbocharger pieces).
The EGR mod basically reduces the deliberate introduction of exhaust gas straight from the exhaust into the intake manifold. This only happens between idle and full throttle - at the end points of accelerator, EGR valve is closed. When it's open it allows exhaust gas - and that includes soot - into the manifold. Combined with oil vapour from the PCV (I'll get to THAT in a second) you end up with a black sludge in the intake manifold.
The PCV is another source of exhaust gas for the intake manifold. Combustion gas (including soot) passes the piston rings to enter the crankcase. The soot is mostly absorbed by the oil - that's why diesel oil turns black so bloody quickly - but the combustion gas heats the oil up, turning some of it to vapour. This has to be vented - at the top of the camshaft cover at the rear of the engine you'll see a hose about 25mm thick, which leads to the intake just in front of the turbocharger. This hose carries the gas and oil vapour.
You can fit a catch can to trap most of that oil, but the exhaust gas (minus MOST of the soot) will still have to go in the intake - it's illegal to do otherwise, and dangerous for the motorbikes travelling behind you.