I unplugged mine a while back, probably 3000 miles. In terms of top end power, it will make no noticeable difference, but your turbo WILL spool marginally quicker. The EGR extracts exhaust air pre-turbo in these motors; by this token, any air the EGR uses is subtracted from the quantity that could be powering the turbo, but instead is rerouted through the intake. By pulling the plug on top of the valve, the valve is locked into the closed position and will prevent any air from being extracted. This is valuable air that, at idle-2200 rpms (estimate) will assist in getting your turbo boost up. I would be very interested to see the torque curve on a dyno with the EGR enabled vs. disabled. As for answering your original questions:

Simply pull the plug off the top of the EGR valve and wrap both male and female ends in tape (or at least thats what i did)

Yes, it will throw a code if you read it with NGS, but can simply be cleared with a tuner (diablo, superchips) or just unplugging the battery. The check engine light DOES NOT come on.

As for gas mileage, i do not carefully calculate mine, but it SEEMS to have boosted mine marginally, maybe half mile to the gallon.

PS- i also removed the throttle plate from the intake elbow (used for backpressure for the EGR, the plates are only in early model 03's and the new 04's) Both of these WILL decrease the time it takes for your turbo to spool up, by a noticeable yet not drastic amount.