Is it better to put the splashguard back on under the front bumper to prevent hydrolock when having a cold air intake? I know this will hamper direct airflow, but it seems it would be safer. What are most of you dong with a CAI set up? I've heard some cut out the air vent in the bumper.
Do I have to put my heatshield back on if I have an aftermarket header? Will anything get damaged by being exposed to the heat?

 

The area where the filter lives gets absolutely filter at the best of times. Leaving the splashguard off will only make things far worse. When I had my AEM, I cut out a hole in the vertical plastic wall that separates that compartment from the one just in front of the radiator. This lets in plenty of air but kept much of the road crud out. I don't know what others have done.

Which heat shield are you talking about? When you put on an aftermarket header, at least 3 heat shields are removed - the black one separating the battery area from the header, the main OEM header shield and the secondary OEM shield. On all but a couple of aftermarket headers, the main and secondary OEM shields cannot be attached and are left off. That black one, however, should be put back on to give the battery a bit of protection against the header's heat. You will find that without the header shields, the engine bay will get extremely hot. If your car runs fine like this, then leave it. Some guys get vented hoods to help clear the heat.