Hi and welcome
Best bang for your buck is
1) supercharger pulley 15% or 17% and the correct belt use a Gates K060535
On both sizes.
IMO the best pulleys yo buy are kavs, alta v2
2) better air box (Dave F, orranje stealth) or something like an alta CAI
This will give you better power to start with.
My advice would be to get a better intercooler when you fit the supercharger pulley, and change your spark plugs go up one heat range to cope with the extra boost and gas temps.
You will need BKR7EIX http://www.sparkplugs.co.uk/pages/da...esults-ccp.asp
Keep an eye out here and at mini torque for a second hand Mini GP intercooler, GRS Motorsport intercooler, Airtech there the best around
1320 mini MINI - Servicing - Repairs - Tuning - Parts - Spares
Lohan Lohen.co.uk - Track & Fast Road Performance for your New Mini - Home
Orranje Orranje - New MINI Performance & Styling Products
I can recommend rich at orranje that's who I use
Then is a case of how far you want to go with it after that
A main thing to consider during the upgrades is the front brakes they are on the limit in the MCS and with the convertible being a little heavier they are poor.
A couple of round about's in the summer and you could find your self with brake fade.
You can upgrade there are lots of options for big brake kits a popular upgrade is r56 cooper s brakes you can get these second hand just keep your eyes open.
I would also say buy your self a cheep diagnostic tool for around £30 from ebay it's a must with a moden car or if your ok with computers you can get a lead and the bmw software £30. It is such a help if you get a problem and it will save you a fortune. If your going to do a lot of work your self get a Bentleys manual from Amazon there not cheap but are worth the money.
[ame=http://www.amazon.co.uk/Mini-Cooper-Service-Manual-2002/dp/0837616395/ref=sr_1_1?ie=UTF8&qid=1399414825&sr=8-1&keywords=Bentleys+mini+manual]Mini Cooper Service Manual 2002, 2003, 2004, 2005, 2006: Mini Cooper, Mini Cooper S, Convertible: Amazon.co.uk: Bentley Publishers: Books[/ame]
Anyway lots to take in :-) enjoy your new toy