The standard 940 turbo Air box is cold air feed as standard so a standard filter is the best way to go, I replace mine on every service even if it has only done 3k miles as you can get them for about £4 from Euro Car Parts. There is no warm air feed etc in a turbo 940 air filter housing, I've gutted the excess plastic and foam padding from inside mine to give a more pronounced wastegate noise when I let off the throttle but that's about all you need for a mildly tuned 940.
Save your money and go through and service it properly as it will no doubt be leaking oil, the PCV probably won't have been cleaned out properly for a long time and if you want a decent mod then get rid of the useless camshaft it has as standard and go for an A, V, VX3, H or K cam or if you want to go more serious then an IPD turbo cam, I have the IPD cam in mine and it seriously wakes up the engine.
Hopefully that advice is of use
