Well saying I have an E reg mk2 valver running Kjet is better than the rather obscure acronym of CAI's, not everyone know's you mean Cold Air Intakes.
You can buy them or make your own out of tumble dryer tubing but remember that the air/fuel mixture will be changed if you're adding a whole load of extra air by cutting up the air box so you may need to compensate for this.
General route is to fit K&N panel filter, take out the plastic cone in the inner arch, and if you must, drill the airbox.
Only do this on the wing side of the airbox as it defeats the purpose if you let warm air from the engine bay in.
If you want more DIY then you could always knife edge/ port your Throttle Body, that should sharpen up your throttle response a bit.