Is it a powerstroke or IDI?
IF its the IDI turbo with a stock exhuast then you need to get new down pipes from the turbo. They are very restrictive.

If its a Powerstroke then you can put on a performance chip and a good exhuast and intake.

Use fuel treatment with cetane booster. its suppost to help burn better and lubricate. About 4.00 bottle of DieselKleen will treat 100 gallons.

Go to the Pre-Powerstroke forum and you will find lots of help.
If you have a Powerstroke then go to the 1994up Powerstroke page