Welcome to Avant life! Avants rule!
Just so that you know, there is no such thing as an OEM RS4 grill for a B8. Audi never made one. They are ALL the same Chinese manufacturer. You can pay more and get it from a brick and mortar business or get it cheaper on ebay. Same product different packing. I picked up mine for $170. I've compared it to ones that people paid 3x as much for...same grill. If you use ebay, just check the seller's ratings. Some people are better at standing behind what they sell than others and the ratings make it pretty clear to see who can be trusted and who to avoid.
Regarding mirror covers and the cost...if you want OEM, be prepared to pay the steep cost of entry. You pay for perfect fit as well as the Audi part number.
As a side note about mirrors, I've always found it interesting how in Europe, S and RS model buyers very often pay extra when ordering their cars to get body colored mirrors. I was at the dealership two days ago helping a friend pick up his new S6 and he commented that he had avoided the black optic package specifically because he wanted silver mirrors not body colored ones. Different strokes for different folks I guess...
I'd agree with Dan (even if he no longer owns an Avant...traitor!

jk) about the tune. Hold off for a bit. No sense losing your warranty over a tune. As far as even a cat back exhaust (btw, that's a full exhaust basically on our cars since the cat is attached to the turbo) you should check with your dealership. If you have a good relationship with them and they are cool they will have no problem with an exhaust...but I have also seen people have their powertrain warranty voided for just swapping out the exhaust. Crazy I know but the warranty terms are pretty clear about modifications. Any chance a manufacturer can use a loophole to get out of paying for warranty repairs, they often will jump through it.
As Warren said, try to get out to a track event. The Audi Club has AudiFest coming up in the Fall at Sonoma Raceway. It's a great way to meet other Audi enthusiasts as well as get a chance to look at/hear/and feel the effects of certain modifications before you spend a bunch of money. If you are more into shows... there is Cars and Caffeine in San Jose as well as the Concourse/show that the Audi Club is participating in called Legends of the Autobahn.
I'm not on the forums as much anymore but feel free to shoot me a PM if you have questions. I try to answer those once a week.
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