keep the radiator and make custom mounts for it to drop into (easier than you think)
power steering needs a custom return hose (big line on pump to reservoir), high pressure is bolt on
fuel lines see above
heater core should bolt up (can't confirm for mx6)
axles bolt up
motor mounts bolt up
shift linkage use the mx6 linkage (lewis used a probe GT and it lines the linkage better)
wiring isn't all too complicated.. but theres a lot to learn
read up as many build threads as possible, theres probably like 5 just on this forum, a couple on probetalk and clubprotege.
OBD2 is possible but you have to retain basically all of the system from the MX6, A guy in toronto (username Durwood) has passed aircare twice with a KL swapped protege. I also plan to make mine DD reliable and smog legal.
And like Jedidiah said use the complete DE, the retainers are stronger in the DE heads, intake manifold get a KLG4. Port the DE heads, KLZE porsche and Jkpgt have experimented with flow in the heads, a ported DE will actually be better. Watch lewis' boosted KL thread, he's pretty good at posting useful information.
exhaust and intake will most likely need to be custom etc.
I've done like 8 months research before my swap, which may or may not be too much but I know the car and engine inside out now...