It is always hard to fight the "seat-of-the-pants" perception with certain performance "upgrades."
There are some upgrades that add nothing, like throttle body spacers and performance chips. There are others that are out and out obvious improvements such as a PCM4Less tune. Cold air intakes seem to fall somewhere in the middle.
I have never seen actual back-to-back tests with identical conditions that would match the perceived seat-of-the-pants improvements. I had a K&N in my basement for a few years and never got around to installing it, mostly because I realized that horsepower increases under 10 HP would be literally imperceptible (beyond that mythical "feel.") I was also suspicious that almost all cold air intakes on the market are actually warmer air intakes. (WAI, maybe?)
Just for fun one day, I installed the K&N system. I seriously did not expect any change and I half expected there to be slightly reduced performance because of the warmer ambient air. Well ... I was actually surprised that there WAS a very slight improvement. It was almost imperceptible but I tend to be a pretty aware driver. However, there was WAY more noise. The noise in the cockpit was actually very cool, and it added a somewhat "V8" roar to the inline six. I certainly stuck my foot into the throttle a lot more the first few days just to hear the cool sound.
However, after the first few days, I found myself backing off highway acceleration if I had a passenger, just to keep the noise down.
I then decided to remove the heatshield and replace it with the factory airbox. (It fits right over top of the K&N intake and filter without modification.) To me, this was the ideal combination. I ended up with the same performance as before (and maybe even a tiny bit better due to the cooler intake air) and only a slight increase in noise when I accelerated.
In technical terms, the heatshields on most cold air intake kits don't do much. However, the factory airbox is what could be considered the equivalent of an air-to-air intercooler for the air intake system.
The funny part is that people pay big money for aftermarket air-to-air intercoolers for their turbocharger kits, and here we have one on our intake system right from the factory that some of us replace with a much less efficient piece of metal.
So, if there is any kind of increase in power with a CAI - and it is very slight - it seems best if you can still use the factory airbox. (On the K&N, you don't need to hollow it out or anything; it just bolts right on top.)
A PCM tune is still, hands down, your best bang for the buck with our platforms.