Shannon, you're not really broken in at 10k miles. It should continue to get better and better. Just remember to drive it a little more aggressively than you would ordinarily, in order to get the high RPMs as well as the low - that helps the pistons seal better.
My wife's Jetta wagon has averaged 37 mpg since we got it used about 5000 miles ago. Occasionally, on road trips, it will top 40 mpg, but generally it stays in the mid- to upper-30s. It's an automatic and weights a bit more than yours, but it's got 25000 miles on it, so it's closer to being broken in, so I would guess that's about average for a PD Jetta.
My Beetle has about 7500 on it and averages 38mpg, but it is going up slowly, with each tank. I think patience is the key here. Check back at 20k and 30k and let us know how it's progressing, OK?