I believe that if you soup up a car (introduceing more fuel and air to burn) you will lower your fuel economy.
Sorry, but most of the experiences here contradict your suspicions. Diesel engines are different from gasoline engines...you aren't automatically shoving more air and fuel down the engine just by souping it up. You only use more fuel if you use more power. There's no set air/fuel ratio, either. As long as you have sufficient air to burn all the fuel you're injecting properly, then the air/fuel ratio is fine. Generally, modern electronically-controlled direct-injected diesels (like TDIs) run very lean compared to a gasser.
Bigger nozzles do improve your fuel economy if you don't use the extra power. Why? Because the same amount of fuel is injected quicker (bigger holes), effectively advancing your timing by a small amount. This also gives the fuel more time to begin burning before the power stroke.
A chip can increase your mileage, again if you don't use the extra power, by changing the fuel map and the injection timing under part-"throttle" conditions. From what I've heard, I have a suspicion that this is what the milder RocketChips (Stage 1, Stage 2) do, but Jeff (jsrmonster) would be the one to ask for sure.
I have a f-350 turbo diesel and added a 6 position swithch linked to a programmer. I dont think the black smoke comeing out of my exaust means I am burning less fuel. Just a thought:>)
That is a tuning box, and usually those tend to have less control over the engine than a chip. On a TDI, a tuning box can't directly control boost, so you can dump in more fuel, but not more air...this leads to smoke and worse fuel economy. I suspect the same is true of your F-350's tuning box. So it's not all upgrades which will worsen economy...only ones that dump in more fuel for power's sake, without regulating other parameters of engine operation.
Hope that illuminates things a bit.
Mike