In general, there are a few things you can count on.
1) Alloy wheels (i.e. an aluminum alloy) will be lighter than steel wheels. The VW 15" steel wheel weighs as much as their 17" aluminum wheels (about 23 pounds).
2) A wheel-tire combination with a 15" alloy wheel will weigh less than a larger alloy wheel in a similar wheel-tire combo.
3) Wider tires (tread width) weigh more and have more road rolling resistance as well as more aerodynamic resistance.
4) More mass in the wheel-tire combo causes more fuel consumption.
Specific high-buck wheels or racing tires will cause one or more anomalies with the above generalities, but for most common wheels and tires, the rules will hold.
Going from an alloy 15" wheel-tire to an alloy 17" wheel-tire will cost between 5-15% in extra fuel consumption. The better handling is great. If you want a cushy ride, the smaller wheel will give more tire sidewall to let the bumps flex away.
In your specific question, it all depends. Usually, going up in wheel size forces you into a lower aspect ratio and wider tread width, which usually means a lower fuel economy situation. If you end up with a larger circumference, you will have an effective lowering of gear ratio. Since the speedos usually seem to read high but the odos seem very close, you'd need to do hand calculations with a correct fudge factor to get your true mileage figure.
In reading threads where people are replacing the final drive ratios via new ring & pinon or new ratios in the top gear, I haven't seen a lot of swooning over vastly improved mileage. It could be that the dearth of double-blind testing makes it impossible to post objective answers.
Since there are so many factors that we can't forecast, I'd figure that you'd spend $$ on new wheels and tires that will never be recovered. Unless, of course, you just want larger wheels for the 'kewl' factor and $$ don't figure into your payback.
So: sorry, but there's still no free lunches around. It costs to run the DSG, and now you know exactly what that cost (in driving) and the benefits are.
Cheers,
PH