1. Just red Loctite it and drill the nut then retain with safety wire. That way, you can still get it apart if you need to.
2. A baffle is a good idea.
3. Gauges - Instead of spending all of that time installing gauges, buy an AIM Solo DL and an ECU bridge. That way, you get a cheap GPS data system that will pull info from the ECU and ABS unit (AIM makes a nice template for the e46 to pull a good amount of data). That way, you get some useful data that can make you better as a driver. As for oil pressure, just install a big warning light. If it lights up, shut the car down.
For controlling coolant temps, I suggest using a Stewart pump, stock water pump pulley, brand new stock radiator and clean out the condenser (if your car has one). If you can, drill the fan shroud full of holes to get as much air flow through the radiator. An oil cooler is a good idea as it will control the water temp when you come in off of the track.