I tried something like that on my 3.8l a year ago; the most noticeable difference is really the sound. I used a cone filter, an exhaust adapter, and some aluminum piping from home depot. Nice growl from 2k rpm upwards (I mean, the essex isn't a rev-happy engine to begin with...). Slightly better throttle response, maybe a slight increase in power but, nothing that would make you think that it can start beating mustangs (still, its a good change though).
Go to home depot, and get some aluminum piping and start experimenting; if you like the changes, you can come back here and ask for ideas for a more permanent setup
My brother custum biult a cold air intake our of 2" mandrel bent exast pipe and a cone k&n filter. Muffex bent the pipe and did welds for him. costed $30 for pipe but the thick stainless steel looks awsome.