if you look around the k & n side im certain they do a heat shielded kit for most applications. cant find it for the megane but there a ic of it on here
another option ive seen for a lot of golfs boras was to install a cone filter in the original airbox to stop the heat getting at it. youd need to measure the inside of the box and intake and see if k&n hav something similar.
watch out with k&n, along with a lot of other filter manufactures, use oil filtration. If theres too much oil on the filter, note they can come from the factory with too much, this oil can come off and damage the airflow meters.
like waynne says the remaps your best bet you should see about a 30bhp increase compared to the 10, if your lucky, from the induction kit.
im now not so sure how good a cold air induction kit is on a turboed engine. think about it your turbos heating the air up by quite a bit, see logs where its 160 degrees. at the exit. a larger intercooler will help cool the air better and resist heat soak more. so although you wont gain much power by it, you will have that power for longer.