On dust, the airbox modifications won't funnel airborne dust into the box. Your filter won't be exposed to any more dust than before. Water and chunks of stuff will have an easier time getting into the airbox without the baffle but dusty air will only enter the box as fast as your carburetor asks for it. Some folks go as far as to apply a netting or coarse filter over the entrance to the box to keep pine cones and mud chunks from being inhaled.
I hardly ever get into third gear on trails, never out of third in the woods. Why would you want to? You would be shifting all the time, and the big power of the 400 allows you to lug the engine. Your best bet, and what I did on my last big XR, is to drop a tooth from the front sprocket. This won't require you to modify your chain, it is cheap from rockymountainatv.com for 10$, and won't cause rubbage issues with the rear chain guide like a larger rear sprocket can. Also, the smaller front sprocket can be switched out pretty easily to allow you to change back and forth.
Don't bother changing the muffler or header pipes out if you are a woods rider. Studies have shown little to no benefit from aftermarket xr400 exhaust systems except they look cool and lighten your wallet. What little improvements there are almost always occur at the top end with the negative impact of big noise. The stock exhaust is really very good.
Do a search for the Gordon Mods. It will really make a big improvement for little money. Even if it weren't for the cash issue, there is very little else you need to do. As you can see from my recent post, I had some of the same fears as you so I waited a year before changing things. I never believed the improvements would be so big.