Only need to blank off the pipe at the exhaust end.
The engine light issue only seems to affect later cars, e.g: 2004/5. Now I'm writing this reply I can't see what car you've got but if it's older, you might not have the issue...
Some people seem to have kept the engine light off by drilling a 2-3mm hole, though I guess the hole could block over time given the sooty crud that will be coming through.
I got my EGR flow turned down to a minimum using VCDS instead, and just kept the standard EGR valve and pipework. There's a how-to on here somewhere I think.
Third option is just to replace the entire EGR asembly with a 'race pipe' and bypass/delete the EGR cooler (Darkside sell a pipe for this ISTR). Would definitely need to get the EGR function mapped out then to stop the engine light coming on. Only
problem then is that you lose the butterfly anti-shudder valve in the EGR housing which could be handy to shut down the engine in the event of diesel runaway, e.g: turbo seal failure or overfilling with oil...
Whatever you do it's probably worth checking how clogged the EGR assembly / inlet manifold are already and considering cleaning them out if they have significant carbon deposits choking the air flow.