It's by far the safer route to go, since you still have full control of the engine in case you hit bad gas.
Talking of gas, use the highest octane gas you can - these engines can adapt their tuning on the fly to different octanes.. it will run smoother with perhaps a little more power on a higher octane fuel.
You can also have the cylinder head gas flowed and polished and even go for a big valve modification... but if you go this far.. you'll have to start thinking seriously about cooling. Keep the undertray on, remove the airco rad (if you have one), keep the 82 degree thermostat, run a leaner mixture of coolant to water, and drill some large holes in the wheel arch liner.
You can also replace the exhaust system with a system from JT.. this can include a 3'' downpipe, which as Maarten says will reduce temps and give better exit flow.
If it's a 2.3 you have.. you'll have a DI cart, so make sure the cassette is good.. and you're running the proper NGK sparkplugs that are properly gapped... nothing slows a Saab down than badly specified and gapped plugs (they are used as sensors)
Make sure all the vacuum lines are good, and the dump valve is in good order.. if not.. replace the stock Bosch unit.. with a unit like the Hyperboost DV valve from Stratmosphere.
It is an excellent dumpvalve (I've got one fitted on my Audi) and is far better engineered than the valves from Forge (which I had on my previous 9000... )
The existing airbox flows pretty good, so perhaps just stick a K&N, ITG, JR etc filter in there.. however watch that it's not too oiled - because the excess oil will mess up the airmass meter and cause very odd running.
The ability to stop the thing can help it go faster.. so look at braking upgrades - There are plenty of options... from ATE Powerdiscs and standard pads through Brembo High Carbon disks and Ferodo DS2500 pads through to custom Brembo/AP Racing big caliper 308mm disc set ups.
Cornering.. Replace the standard (worn out by now) bushings with poly. Wishbone bushes, ARB bushes and droplink.
Replace the dampers with something decent (Koni, Bilstein) and the springs with Eibach, Abbott etc... a new rear antiroll bar from Abbott.
Tyres : Can't stress enough how decent tyres can improve and extend the car's abilities. I've had great results with Bridgestone S-03 PP.
Have a look at this car in the gallery.. it's also a 91... shows what can be done :