I also have a 2004 kx125. Enjoyed reading your posts and I've also been reading
http://www.vitalmx.com/forums/Moto-Related,20/2005-KX125-Build,1295539?page=2 posts on Vitalmx. I'm currently slightly modifying mine. It already has a FMF exhaust with the stock muffler when I bought it, which I'll most likely keep on it. I'm installing a Boyesen Rad Reed cage and rejetting it. It had V-Force valves (first version) and has 12T front and 51T rear sprockets.
Next upgrades: replace chain (w/ RK GB520MXU) and sprockets (don't know if I'll go with 12 or 13 tooth front), sliders and chain guide (w/ TM Designworks kit), and install Fasst rear brake return spring and brake clevis.
I don't do much track riding anymore, mostly woods riding, and this has been a fun lightweight bike to ride. This bike makes my last bike, a '98 KX250, feel like a tractor.
Next year, I'll plan on having my suspension re-done, probably by Pro-Circuit.