There is no official break in period for a new turbo, just ensure you've primed it properly and all is functioning as it should. And no, I would not drive the car with a different turbo without being tuned unless your tuner has sent you a limp map to flash before you get on the dyno. That also would involve either an investment in a $500 accessport or the use of a $20 VAG-com obd2 cable and a laptop with RomRaider software. Or simply tow to the tuner.
As far as supporting modifications for a bnr16g, you absolutely need a catless up pipe, catless/highflow catted downpipe, I would get a different intercooler (or if your really on a budget, search "endtank JB weld" or something along those lines, to reinforce the garbage plastic ones on the oem tmic that tend to pop off above a certain boost pressure), you'll need a pump and injectors to see the potential of that 16g but it can be run on stock fueling (obviously you'll need to be tuned either way, that goes unsaid), high flow panel filter (less expensive than going for a cold air right off the bat).
And thats just about all I can think of. Costs associated with all of the above I'd estimate barebones including the cost of the turbo you'll spend somewhere around the $2k mark (potentially a few hundred more) including the price of a tune (which since your in the tristate area, I wouldnt go to anyone other than EFI Logics myself, about $500 for an opensource stg3 dynotune). Also I dont know if you'll be doing the installation yourself because labor can be pricey. Up that number to close to mid-high $2k's if paying a shop to do it, if not more.