The EGR doesn't work by warming the incoming air. That's not the point. And warming the air doesn't make more of it. There would still be the same number of molecules of air.
It's designed to recirculate the exhaust gas, thereby decreasing the effective displacement of your engine. The engine injects enough fuel for the fresh air coming in (since that's all the MAF will measure) while the already burnt exhaust will more or less just be inert in the air charge. It is only active during low load conditions, like while cruising. There really isn't much of a reason to remove it. Most end up removing it because they go with an upgraded intake manifold, and they don't have the EGR.
I bet you can't tell when your EGR is working and when it isn't. So the horsepower argument is pointless.
If you car is pretty much stock, just leave it. The EGR hoses and solenoids don't take up much space. And you can move the solenoid down the firewall if it's an eyesore.
It does help lower emissions by reburning some of the exhaust, which gives some of the compounds a second chance to reburn.
Wes - '97 Talon Tsi AWD