I read on the internet somewhere that if you change air filter to k&n and exaust you need to go to dealer to get reprogramed for best performance. Is this true and if so do handheld programers reprogram for that or just tire size, driving style, and shift points?

Nope. Nothing the dealer has is going to make your truck run better.

Now if you change the intake and exhaust on a GASOLINE engine, it changes the air-fuel ratio, and best performance will be after some custom tuning.

On a diesel, there is no air-fuel ratio to speak of.

Handheld diesel tuners normally add HP in a big way. They also remove the top speed limit, and adjust for tires, and read/reset trouble codes.

What McRat didn't tell you is that they're also like big fat bags of crack. Once you start... :)