Yeah your starting point for the vanes definitely needs to be opened a little, not a whole lot as a little will go a long way, play around with it until you find the sweet spot.
Does your waste gate rod have an adjustable collar on it that you can shorten or lengthen the rod with? If so once you get the starting point dialed in start adjusting the length of this rod to make the the wastegate open your vanes a little sooner, this will help with egts when running higher boost.
Once you get it dialed in a little more and your egts are more controllable I would say run the blanket, will keep the heat in your housing a lot better and once you have your egts under control that is not a bad thing. I doubt you'd see any difference performance wise though.