I will say that getting a header will not help your mpg. It's about port velocity. A header will lower your exhaust gas velocity and you won't get very good low end power because you will lose the strength of your exhaust pulses.
I currently have an HF, and the gas mileage isn't all that I thought that it would be. I absolutely baby the thing for an entire tank, I'm talking tailgate city, and I still only have averaged 45mpg as a high for my tank.
I will say that I typically cruise 60-65mph which is a little higher than the 55mph that it was designed for. I need to adjust the alignment, because I think that it's a little toe out.
I also have an aluminum flywheel, underdrive pulley, and cam gear set to 0*, low pro (205/40 R16) tires for less rolling resistance, and run full sythetic. I did rering it too, but I need to do a compression sometime to make sure that it's all good.
I have a megan racing (4-2-1) header on it to testpipe to 2.25-2.5" ss exhaust. Someday I'm going to swap it out with the stock one (stock one is hacked at the collector area so it needs some repair).
If you are looking to get good mpg and a fast car, I would look making a hybrid trans... putting a hf 5th gear into another trans to get that nice low rpm for highway cruising.