You don't have to replace the feed line unless you suspect it's plugged, but a lot of people have difficulty removing it from the old turbo without damaging it. So you may end up needing one regardless. Return line is probably fine unless it's visibly leaking.
Drain the intercooler, and if any of the hoses are degraded, replace them. Otherwise they're OK. I'd recommend not using anti-seize.
Oil accumulating in the intercooler on a properly running (and driven) TDI is not normal. I've not drained mine in over 200K miles. No oil in there.