first join www.rx8club.com and do some reading up
then find and contact MazdaManiac on the site, he has the best deal on
Cobb's Access Port tuning device - plugs right in to your OBD port also comes with several maps to use right off the bat

then depending on your finances I'd go for;
better wheels and tires
suspension upgrade
chassis bracing
Agency Power exhaust
Racing Beat intake or AutoExe's intake
and lots of autocross to improve the nut behind the wheel