All you need to get from Aussie is the Dump pipe and Front pipe.. These two pieces will cost a little over $1000. These are the important parts where most the tricky bends are! The rest (cat back) of the system can be made at a local exhaust shop for about $500. Thats what I did with mine.
Yes, definitely use coolant. Might also be an idea, if your running Toyota Red coolant in your radiator, then use a green coolant in the intercooler, that way when theres a leak, you will know where its from.
these guys have made many sets before and would be the best place to try. though they are based in the UK. http://skewer.co.uk/ oh wait,, your not planning to put those on your SX are you? coz that would be just wrong.
I seen Barina crash test vids somewhere recently.. and the things just crumble down.. roof caves in and all. The yaris holds pretty good in the crash tests also. Just something to consider.