Re De-cat pipe, I've just done this on mine and I can tell you that mine is running easier, more forward bound, needing to use less pedal so that should signify better mpg.
I bought mine from MM4x4 at Worcester for £61, but check prices on Ebay. Easy job to do yourself (I can say that now that I have done it!!) but I would offer the following advice:
1. Buy yourself a 6 sided 10mm socket, the one that drives on the faces of the bolt, not the edges;
2. Remove both crossmembers (so 16 bolts all the same 10mm size);
I reckon if I were to do another it would take about 1 hr, but I cannot stress too highly the need for this special socket - it made the world of difference doing the job.
Poor MPG - I have found that on long runs I used to use the cruise control but used more fuel. I think this is because you have told 'the computer' to keep the car at eg 70mph, so it does that no matter how throttle is needed to achieve that goal, especially up long hills.
If I drive without cruise and approach a long upward hill, I will build up speed before the hill so I don't need to bury the throttle half way up.
I'm hoping that the de-catt mod will improve mpg, I have done this mod on several previous TDi's and all improved by about 3mpg.