Woo for the Bentley! Mine is invaluable.
Cost is anywhere $500-$3,000 depending on where you get parts and if you do all the work yourself.
You can use any transmission from a 2.0l OBDII ABA car, same goes for the ECU.
You will need:
-ECU
-Pedal Cluster
-Shift box
-Shift cable
-Shifter bracket
-Shifter bushings
-Shift tower
-Shift knob and boot w/ accompanying interior plastic piece
-CV Axle assemblies (left and right)
-Wiring harness engine/trans/dash
-trans
-front trans/motor mount
-rear trans mount
-rear trans mount brace(small brace connecting the mount to the driver's side of the tranny)
-pressure plate/flywheel/clutch disk
-starter and the bolts that go through it
-shift linkage/box/brackets...(all of it)
-clutch cable and retaining hardware
-clutch pedal & the shaft through the pedal assembly
-NEW clutch and installation kit
**** ^^^^^ Most likely incomplete, just what I could scrounge up from memory and some quick Vortex-ing ******
You car has an immobilizer so you will encounter a bit of trouble here, either you must find another Cabrio that is a 5 speed and take the ECU and immobilizer AND THE KEYS, or find a pre-2000 Cabrio that has no immobilizer and take it's ECU (and remove your immobilizer from the car).
Probably the your best bet for an actual guide: http://forums.vwvortex.com/showthread.php?5491185-MK3-obd2-Automatic-to-Manual-Swap
As for your potential upgrades and the whole intention of swapping a manual into it, if you don't know already now is a good time. You WILL never recover the amount you put into a car upgrading it when you sell it. If you want to do all that I strongly suggest meaning to keep the car indefinitely or keep the costly upgrades out of the equation so it will be easier to sell (and try selling it on VWVortex for best results).
An air intake is not a turbo, this is an air intake: http://eurosportacc.com/eurosport_coolflo_air_intake_systems_cold_air.htm
I suggest buying another engine to rebuild if wanting to add a turbo if the car is your daily driver to keep down time to a minimum and to ensure the added power won't cause foreseeable problems.
Also, I suggest to buy coilovers before wheels/tires because when you decide how low you want to be, it should be then when you decide the best wheel/tire combo for your car (saves you from buying two sets for the same wheels). Much of the Mk3 crowd is biased towards 16" wheels being the best looking wheel size. Be mindful of the wheel offsets as well, spacers can't fix everything. Depending on wheel/tire and drop a fender roll/pull might be in order.