If you're wanting to change out the y-pipe with that ebay special one, I say go for it if you're in no particular hurry to drive your car tomorrow. It took us a couple days to get it done because we underestimated our opponent (my particular mk3), when, had we thought it through as being one of the most difficult things to do on a Mk3... it would have only taken maybe 5-6 hours. Things I would recommend:
-PB Blaster. Get ALL the turbo to manifold and turbo to y-pipe studs sprayed the night before.
-Good set of needle nose vice grips, to remove the studs.
-Like mentioned above, a good selection of tools never hurts.
As I said, PB all those studs the night before, let it soak in nicely. It'll make your life a lot easier tomorrow. If I had to do it again, I would loosen the y-pipe nuts and then go about removing the front turbo, then installing the y-pipe, and reinstalling the front turbo, tightening everything up again, etc... That's how I'd do it anyway, your mileage may vary depending on how much your car likes to see you suffer. Mine's a real bitch.
I would recommend wrapping the y-pipe and downpipe with header wrap though, the steel is kinda thin... and don't be surprised if thing's don't *quite* bolt up perfectly, it's cheap for a reason. Is it worth it? I'd say so, I went from ~8psi to being able to see ~12, made a nice improvement. You'll also hear the turbos a bit more too... Oh, and while you're in there, do yourself the favor of replacing your coolant lines around the turbos if you haven't already done so. Right after we did mine, one sprung a leak. Another good idea (considering how much crap you're likely to loosen) is to WRITE DOWN WHATEVER YOU LOOSEN, that way you have a checklist to go against when you're putting it all back together.