I would go with your original idea, stick a few quid aside and have some fun. The great thing about the Zed is that although exhausts and the like are quite expensive, there is lots you can do otherwise in the meantime, the standard exhaust isnt that bad in any case.
I put together my own engine bay bolt set off ebay for £25 (although I ended up getting a full set off Tarmac), stubby aerial, buy some vinyl wrap and have a go at a few bits on the interior like the door grabs, centre console, rear strut brace (as suggested above) etc. Gear knob is pretty cheap and I would really recommend changing the handbrake for something a bit chunkier it will make a big difference to the look and feel when driving. I also found that refurbing the leather seats makes a BIG difference to the interior, there is a trader on here (4RE I think hes called) who can provide some leather treatment stuff to bring the seats back up to standard. Maybe some new foot well mats? One of the most fun things I did was buy some wet n dry, some primer and some red paint and have a go at the plastic bits in the engine bay, total cost about £20 and makes a massive visual difference.
Hope thats given you some ideas. Exhausts and the like are great but you already have a fairly competent one, unless its rotting away which some do...unless you got a decent budget have fun with some of the small stuff in the meantime