1. There will be no excess heat in the engine bay by removing the hose, as the engine exhaust is what supplies the heat in the hose in the first place, so no worries there.
2. The cold air mod is nothing new. A lot of people do the knockout behind the headlight thing. I did something a little different: http://www.megspace.com/cars/oileater/
3. As you suspected the air box is only held in place by one bolt, hoses, interference in the form of wiring, etc. Once the bolt is removed, believe it or not you need to pull away from the fender to get the intake runner out of the fender then work the whole unit up and out of the way. It can be done with the intercooler in place, but as you have to remove one (intercooler) hose, you might be better off removing the second intercooler hose, both top retaining brackets, and pulling your intercooler assembly right up straight out of the way, to give you some more room on the one corner of the air box, by the intercooler inlet. BTW the tricky part is not getting it out, but getting it back in, as the fresh air runner needs to be seated in the fender before it will be happy.
4. I have no idea where mine used to get air from other than to say "the fender" You are on your own on that one.
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