The other issue to consider once you've made your 406 move more quickly is getting the thing to stop and take corners nicely. They were never intended to be hooned about like a hot-hatch rather they were made for eating the miles in comfort
Thats easy on the 406;- brembos, braided hoses, front strut brace, rear lower brace, a set of 17'' light alloys with 45 profile tyres, some coilovers and poly bushes and it will handle a treat - all readily available bolt on modifications. They handle well out of the box anyway and the stock brakes arent too bad either.
As for tuning engine then changing turbo route will be expensive. It will definatley need mapping after fitment, probably bigger injectors and a fuel pump to match. The stock intercooler will probably flow enough to be honest.
Parts wise:- Hybrid turbo, injectors, pump, roling road session and I would have thought it would need an uprated clutch aswell. Black diamond do them and from memory the most uprated one they do is £450 I reckon A budget of £2.5-£3k would not leave you with any change to do all that. Would also need a larger downpipe fabricating.
Also, no one knows how strong the bottom ends are on these 2.2s - what thier tolerances for tuning are. Crank the boost up too high with a bigger turbo and you could end up throwing a rod or melting the pistons. Bend rods and rods exiting the block are not that uncommon on common rail diesels. I believe for tuning the evolution of the 2.2 engine, found in the mondeo ST TDCi is a better engine for 200bhp+ tuning.