Yep, thin metal and not much of it. So little of it that the earlier models can get structural cracks in the under-bonnet area, and rust can cause fun problems by weakening the wrong parts of the car. Don't put your fingers in the gap at the top of the door then go hooning around corners!
The 33 also has no modern safety stuff like airbags, side impact beams, ABS etc, and many don't have power steering or air conditioning either. All that kind of equipment adds weight to newer cars.
Another 33 "don't" is don't look at photos of crashed 33s.
A K&N air filter has lower restriction to airflow than a standard paper filter does. Reducing the airflow restriction in your car's air intake system should improve power/torque/economy by allowing your car to breathe better, but the difference will be pretty negligible. Unless maybe your standard paper filter is very dirty, or you've modified your engine so it now needs to suck more air.
A tuning chip should bring a bigger improvement. But if you're considering modifying your car:
Don't buy anything but the fastest 33 - why bother modifying a 1.5ie if it's never going to be as fast as a 1.7 16V?
Get your car running properly first - mine is tuned right but has uneven compression and camshaft wear, and the power I lose from this is probably a lot more than my K&N filter gains me!
Learn to drive your car faster (unless you're a rice boy / Barry / Chav and just want modifications for show)
Decide which modifications will best help you achieve what you want with the car
Remember modifications complement eachother - a chip might help you make more power at high rpm but not if you have a restrictive air intake and exhaust, and then can you use this power if you have soft rolly old suspension, dodgy tyres and brakes?