Water/methonal injection can give a small boost in power, however its main use is to help keep egt's in an acceptable range. It works out either when you chip your diesel, pulling a hard grade (with or without a trailer), or if you like to mash the skinny pedal a lot.

For safe power I tried a trailjammer module by edge products. Very impressed with its power. by just flicking a switch my jeep can beat a lot of cars off the line and up hills . Anywae it was worth everypenny to try the Trailjammer.
I'm kind of scarred of that propane injection stuff. It seems that if its not installed correctly in could cause a fire or explosion

There are ways to "add" power to the KJ diesels, however I can say I'm not exactly thrilled by the way some things accomplish it by just mucking with the signals between the ECU and the component. For instance, the Edge is tricking the ECU into thinking the rail pressure is lower than it is, so it accordingly raises rail pressure, causing more fuel to be injected than it thinkgs there is. This will also negatively impact the fuel mileage as reported on the EVIC since more fuel is being injected than the ECU thinks. A few things to consider when hopping up your VM engine.

1. Turbo speed limitation, about 150000rpm. There are controls for fuel maps in software to make sure this isn't exceeded (calibrated using an instrumented turbo). By mucking with signals, you change the ability of the ECU to properly manage this. Exceeding this limit is bad news for the turbo.
2. Cylinder head: made of cast aluminum. At peak torque/power, cylinder pressure is upwards of 160bar. Add more fuel and boost = this goes up. Too much over where it is and the cylinder head and gasket become very unhappy...I've seen both break before.
3. Crankshaft supports: cast aluminum as well. Too much abuse = order new engine, at your expense.
4. Pistons: Cast aluminum. Same story, different part...