If I install a CAI, do I also need to change out hte Mass Airflow Sensor? Or is there a kit that would come with one?

I don't think you need to. Im taking an hypothesis and saying that if you install a CAI that you shouldn't need to mess around with the tube that connects to the CAI (Which has the sensor). And if you got a new tube, i would think that you would have to make a hole in it for the sensor

Currently, I don't have a the sensor in it. I have a performance chip installed to that sensor. For some reason, I gained 2 MPG and about 2-3 horses. I got it for a 20 dollar bill. Dunno, this could be bad for my car, in which case i'll yank it off.

When you install a CAI the MAF stays untouched. You just need a place for your IAT.

"I have a performance chip installed to that sensor."

For others reading this thread I don't recommend those. All they are is a 5 cent resistor in a pretty package. No body has yet to show any increase in power gains on a dyno. All the claims of those that use it are using the ole' butt dyno and we know how accurate that is.

IAT?
Like I dont touch the sensor, right, I just pull it out and put it back in? that little plug thing right? Shouldnt that be replaced to compensate for the gobs and gobs of fresh air that would be getting to the engine?
And this CAI will greatly increase MPG right?

No replacement of the IAT needed. It'll do it's job no matter how much air is flowing by. When I did mine on the highway (if I keep the car below 70mph)I went from 31 mpg to 34. Your results may vary.

Oh by the way you just remove the sensor from the old set up and if you by a prefabbed system it should have a hole to put the sensor into if you make your own you'll have to put a hole somewhere and ensure when you put the sensor back in that it seals nicely.