Let me tell you this, spending all your money on a D16 without any forced induction will eat your wallet and be disappointing in the end. They're not performance parts really...
1) Headers: Noise/Looks
2) CAI: Noise/Looks and may result in hydrolocking engine if there's no bypass
3) Any intake: Noise/Looks (better gas mileage is usually bullcrap since the Civic is already hitting 20-30mpg
4) Exhaust: Noise, noise noise/looks
If you purchase BRAND NAME / BOLT ON exhaust, headers, intake etc; you may be spending anywhere from $600-$1,500+. You'd be better off just turbocharging your D for power (which will require a turbo manifold, larger exhaust etc; anyways)
But if you're still persistent about getting them.:
Headers: Ebay/Amazon replica headers usually crack under heat, even with heat wrap etc; A bung may be needed to be welded for the O2 sensor and if the car is lowered, it may scrape on the road.
Intake: You can get a cheap $20 intake and make sure the emissions/PCV is connected up with a K&N filter. Same applies with Cold Air.
Exhaust: The cheapest route is usually to custom build it. What's modifying a car unless you actually custom modify something right? If there's tests in your area for smog/emissions etc; you'd best be looking for a catalytic converter to throw in there instead of using a test pipe or straight pipe.
Also, 92-95 Coupes/Sedans and 96-00 Coupes/Sedans (I believe, not 100% sure) have the same undercarriage for cat-back setups, however the ones with catalytic converters built into the header (Like on D16Y7's CX/DX/LX models they will require more piping)
I don't consider my opinion/advice to be the only way as there are way more knowledgeable members here on the site, just waiting for what they would say.