doing mechanical mods will definitely void your warranty unless you don't mind it. however, there are "wear-and-tear" parts in which proton doesn't provide warranty for (its in your service booklet) and you can change them without any issues. or you can DIY some things first like CAI. be patient bro, don't get too excited first and start changing without planning properly.
get to know your car's handling and what are its limits and your own limits first. when the time comes, start changing your suspension system and so on. then only you will feel the difference. most importantly, drive safely.
i used to own a satria 1.3 and i was using hotbits full exhaust system (from extractor all the way to muffler) and it only cost me rm1k. you should shop around for complete systems (don't buy separately and fix separately, why pay extra for workmanship?), find a set that is within your budget and has been tried and tested before (eg. feedback from owners in forums), then plan your purchase properly.