I'm planning on doing a full stage 1 upgrade. Any recommendations on an air filter? And also, is it possible to do the software upgrade myself?
If it's a 2017 or 2018, be aware that using ANY tuner other than the Screamin' Eagle Pro Street Tuner, will immediately void your warranty. Harley has no choice; the EPA consent decree they signed requires them by law to void your warranty if you use an aftermarket tuner. And that includes any extended warranty you may have bought too.
And using any non-EPA-certified powertrain components may also lead to them voiding your warranty. Note that Vance & Hines has a statement on their website that says their pipes are for competition use only, not legal for street use. On the other hand, S&S's Grand National specifically says it is "Qualified Manufacturer Declared Emissions Replacement Part on all 2014- 2017 Street Models".
So the question is: do you care about your warranty? If so, you have only one guaranteed safe choice: use the Screamin' Eagle intake, the Nightstick muffler, and the SEPST tuner. Those parts will not void your warranty. They may not give you the best performance possible, but they'll keep your warranty intact.
If your bike is a 2015 or 2016, then the EPA consent decree doesn't apply to you and they're not obligated to immediately void the powertrain warranty for using a non-compliant tuner. They still might, but they're not contractually bound to. Then again, most 2015's and probably many 2016's should be out of warranty by now anyway.
When I had a 2015 Street 750, I did a Stage 1 using the V&H O2 Naked air intake, the Screamin' Eagle slip-on muffler, and the V&H FP3 tuner, and I have to say -- it was fantastic. Delivered about a 20% gain in torque throughout the midrange, really woke the bike up, and still delivered 50 mpg. But, I didn't do it until the warranty had expired. If your bike isn't under warranty, or you don't care about voiding the warranty, I can highly recommend this combo of parts.