It would increase the "diesel" MPG, but those raw BTUs have to be made up somewhere. The benefit is when fuel A is cheaper than fuel B, if you can switch, then you can save money.
I don't know what the price point is for CNG, but you would want to break it out to a price per BTU (or group of BTUs, like say price-per-10k BTU) because the price for diesel is [insert local price] and it contains about 128k BTU according to the department of energy and this PDF:
http://www.afdc.energy.gov/fuels/fuel_comparison_chart.pdfAccording to that page, 6.38 pounds or 139.30 cu ft. of CNG has 100% of the energy content of one gallon of diesel - So how much will that cost then? I think CNG is sold by the BTU, right?
You would need to run the numbers for yourself to see if it will be worthwhile, but it takes at least 128k BTU to drive 30 miles on the highway at 30MPG... So that is what you would be shooting for if you wanted a total replacement. [edit - Somehow I confused myself royally, and posted the total BTU for driving 900 miles, not 30 miles. Oops. Its fixed now - 30MPG would be 30 miles and ONE gallon. I cannot brain anymore today, I have the dumb.]
I'm very interested to see how this might work out. I briefly looked into a propane system for my TDI, but couldn't make the numbers work.