Fuel Pump or Fuel Pressure Regulator
Yes, initially change your fuel filter. On the CPI engine, you should change this every 15,000 miles. I assume your MPG sucks now too?
If it was not the fuel filter, now you have to suspect the fuel pump or fuel pressure regulator. The fact that you have to give it gas to start it and I assume your cranking times are longer to get it started points to the fuel pump. Has your fuel pump changed its tone recently? Some fuel pumps whine, as soon as you click the ignition to prime (the position just before the motor turns over). Some make no noise at all. However, generally when your pump goes bad it changes its tone. The whine can no longer be heard or it now really makes a lot of noise.
The best way to check (the fuel pump) is with a fuel pressure gauge and then just screw it in at the fuel rail near the fire wall on the driver's side. Remove the dust cap before attaching the fuel pressure gauge. Test line pressure at prime, at idle, at Wide Open Throttle and with the engine turned off. With a CPI you are looking for around 52 to 58 psi at prime and idle but you will have to determine the appropriate range for your year of vehicle. At WOT the pressure should spike, maybe 62 psi, and then be pulled down from the engine vaccum. Once the engine is off, the pressure should go down a little and then hold. If it does not hold pressure, of if your idle and prime pressure is too low then you probably have a bad pump.
Your fuel pressure regulator is located under the intake plenum and is part of the fuel injection spider. You can replace this part for about $42 with a NAPA FPR. Injector spiders are much more. The telltale sign is that there will be washing on one side of the FPR where gas is leaking and washing the top of the intake, rather than a consistent build-up on crud. That's it.
These problems arise often, so you might as well become proficient at dx'ing them.
Good Luck