without getting into a bunch of discussion on the specifics of why, you won't get MPG gains from headers - especially headers alone
if you want to boost some MPGs, do a tune up, replace/repair as much of the vac hoses you can get your hands on, get an amsoil drop in airfilter, switch to some good quality synthetic 5/30 or 0/30 and give it a wax job
if you're lifted, rake the vehicle 1" lower in the front than the rear
edit:
Didn't read your Sig - sorry
the expanded answer:
for headers to benefit your setup, you'd need a B&G tune + a Fastman Throttlebody
the stock throttle body is restricted a bit and is hardly adequate for the stock setup etc etc rehash rehash
without the tune, the 3.7 isn't going to run right with the headers in a similar but worse fashion that it doesn't run right with the FM throttlebody without the tune
at the point you're at now, you aren't getting enough air down the pipe to use what you've got
some would say do a ceramic wrap, but i've never been huge on them.. mostly because I hated having to do it
bottom line.. MPG wise.. Lifted 4x4 with all driveline connected - typical AT to MT style tires etc
there's nothing you're going to do to get out of the 20-23 max range beyond putting a speed limiter on it to keep you from going over 60 mph