I might be new to the Subaru but not to cars.

A thermostat will make the engine run cooler, if the coolant system can handle it. Most after market mods will change the calibration of the stock ECU and additional gains can be made from "tuning" the stock program.

I am just not sure how to modify the ECU in my car.

Is the a EPROM that can be burned and then plugged in?

Any helpful replies would be appreciated.