Hey Lee
I'm in the UK too, down in surrey
I've got a GTD engine in my mk1, I completed the swap a little while ago, replacing the tired old 1.6 n/a diesel. Its an awesome conversion and makes a really neat package, I haven't calculated anything but I'm sure I could get 60mpg drving sensibly, but it also has a suprising turn of speed, especially since I've done a few mods

.
for things to replace and upgrade it kind of depends on how far you want to go - I completely stripped mine down a rebuilt it with new rings and bearings but I bought it knowing it had been overheated so needed to strip it and check the head and have it skimmed anyway so it made sense to rebuild it.
at 150k it its getting on but it depends on how well its been looked after on its condition - you could strip it down and give it a good check to determine what might need doing?
a few things you could do are: pop test the injectors, renew glow plugs, renew oil pump, check the turbo for play in the shaft.
for more power there are quite a few things that can be done - a search around the forum should reveal plenty of results to have a read through, so you can decide what you might want to do.
there are a few things that it would be worth doing if you end up striping it down like, porting and flowing the head, and modifying the injection pump internally as these are obviously much easier done with the engine in bits and off the car.
as you mentioned you'll need to fabricate a downpipe, you'll also need to swap the drivers side engine mount for the one on the original engine but with your caddy already being a diesel theres not all that much that needs messing around with.
anyway I think I'll stop there but feel free to ask me questions, and obvously you can ask more on the forum when you get more specific querys, when you decide exactly what you want to do

cheers
Paul