The programing of the PSC1-002 is all done by trial and error with the use of a air to fuel ratio meter or wide band O2. By monitoring the air to fuel ratio of your own set up, you can then use your PC to write a program to the PSC1-002 adding fuel where you are lean and the opposite as needed. The PSC1-002 comes with everything you need to write your own fuel maps (minus a air to fuel monitor), it comes with Split Second's own R4 software and after reviewing the instructions programing in not a problem.
The three speed transmission should have no problem holding up to the power the little 4 bangers will make, provided they are well maintained and not abused.
I think you may need to go with a bigger injector though, especially if you do not use a FMU.
All turbos can be intercooled, the intercooler goses inline between the turbo and the engine throttle body, it works like a radiator but for the hot air coming out of the turbo and into the engine. As for water cooler and oil cooled turbos, all turbos are oil cooler/lubricated the oil is there to lubricate and cool the bearings more then it is to cool the turbo. The water cooler turbos use engine coolant to cool the turbo, this greatly decreases coking inside the turbo oil passages.
To have the a muffler shop do all of your exhaust plumbing it will cost you allot of $$$$$$$, if you can try to do as much as you can before hand. The exhaust and your turbo bracket will all have to be made up ahead of time, and installed in conjunction with oil and water lines before you can drive your jeep.
I hope this helps with your questions, feel free to keep them coming.