IMO i would not add the EGR to the car if its not currently fitted. you would need all associated pipework, i think the inlet manifold is different too, the exhaust pipe from manifold goes round front of engine and into valve on end of inlet manifold, dont think adding all the bits would be of any great benefit to you.
i think the EGR is mainly to help lower exhaust emissions at certain operating conditions, someone correct me if im wrong. i personally wouldnt bother fitting it if it was not standard on the car
Iain
1993 BMW 525 TDS SE 150K 2.5 Turbo Diesel, performance air filter, lowered sports suspension 30mm, full stainless decat exhaust, boot-lid spoiler, OBC retrofit, E60 Trapezoid alloys