I haven't had the pleasure of messing with TDis for economy, but on the old IDIs, lighter alloy wheels (not larger diameter and not wider) with skinny tires pumped up severla psi, like Malone suggests, made a noticeable difference. On a low hp car, it helped with accel, too.
I would think a free-er flowing intake and exhaust could only help - I don't know the programmers and chips well enough to suggest one or another or any that might help mpg over power.
Not to plug product, but on our water-methanol injection kits on 3/4 and 1T trucks, it usually increases mileage 1-2mpg (not towing, the towing value is about 1/2-1mpg improvement). I don't have anyone running one on a TDi that has reported back on mileage, but I don't see why it wouldn't help mileage on a 4 cyl vs. a big straight 6 or V8. It also helps to decarbon the combustion chamber and clean the intake, FYI.
Lowering the car a bit and possibly running a deeper front spoiler might help aerodynamics, but on a modern, more slippery car, it probably wouldn't help as much as on the old A1 & A2 VWs. Synthetic oil in the engine and transmission, and good wheel bearings with synth grease packed in the rears, and lubed brake pad sliders, etc. can only help as well.