I once upgraded my stock '92 brakes to direct replacements that were drilled/slotted. I did it for looks. I noticed no difference. Some will say they noticed a difference but most urge not to buy them hoping for performance.
I've since upgraded to a 2001 Bullitt 5-lug/all-disc setup, and got the drilled/slotted rotors again. For looks, again.
Is money an object in your brake project? If so, you might want to go the used route and piece together a SN95 kit. You can use V6 or V8 parts. Even though they're not "Cobra" or the high-end 1994-2004 brakes, they are still a GREAT and worthwhile upgrade from what you have on your Fox body.
If money isn't an object, you can get a full kit from Ford, Baer, etc. or piece together a 94+ Cobra/Bullitt/Mach 1 (all the same sized parts) kit.
WIth either of those, you will change over to 5-lug and therefore new wheels will be required. If you don't wanna do that, check out Baer or Wilwood kits for 4-lug big brake kits. Yuo can still get drilled/slotted rotors so they look cool, and improve your braking and go 4-wheel disc without changing rims.