So, I'm in Indiana and its cold. I'm hoping that is the problem but not sure so I'm asking your expert advice.

After my car gets warmed up the RPMs get really low when I stop or start to slow down to turn (500 or less RPM) and the engine dies... of course while I'm driving this isn't a very safe thing because my power steering goes out and a lot of times it happens while I'm turning.

I'm hoping someone has experience something similar and can help me out. I'm hoping its either a sensor that controls the idling or the alternator. The battery light comes on and the oil light comes on when it dies but the radio stays on, the head lights stay on, the dash lights stay on.

Send suggestions please,
Jordan

There is a small motor attached to the throttle body called the IAC (idle air control). This is actually a valve which opens and closes to control how much air bypasses the throttle plate, to control idle speed. If this sticks for any reason, it won't be able to respond to increased demand for air when slowing down, likely causing your problem.
I haven't taken one apart on one of these cars yet - but the older ones were quite simple. I would just remove them, thoroughly douse them with throttle body cleaner (not allowing it to run into the motor housing though), clean out the opening where it sits, and replace it. On some engines I've seen these get quite gummed-up and cause this problem. Occasionally my 2.2 seems to stick the other way (keeping a high idle around 1500 when not expected), but my car is a 5-speed, so the programming is different too.
If not that, it could be frosting inside the throttle body (maybe your cold air intake is letting in more moisture than typical to cause this), or perhaps you have a fuel pressure problem. I'm not familiar with the performance module you have installed either - so maybe it doesn't have a proper program to deal with the temperatures you're experiencing. Not a likely thing, but still an unknown. Any time you add modifications to the car, you may alter the design enough to cause problems under some conditions. GM does their cold weather testing in northern Ontario at pretty cold temperatures (typically), so there may be reasons that some things are designed the way they are.
The battery light and oil light would be expected to come on if the engine stalls, as there won't be any more oil pressure generated, and the alternator isn't turning anymore.
One of my first cars liked to stall just before a sharp turn at the bottom of our hill almost every day (back in the carbureted stone ages), so I know what you mean about the power steering dying. Just be glad that these are pretty light cars to deal with when that happens. Some of the old ones were a bit more interesting to deal with...
Fuel pressure could also play a part here, but I'm sure you would have other complaints about the performance if that was the issue. I would check out the IAC first. Sometimes they have an o-ring that can tear when you remove it, so you may want to see about getting a new one to have available when you do this. You don't want to have to walk to the parts store in this lovely weather for something that simple...
John