Just had a fantastic 3 week euro tour in the van, which gave me a chance to monitor mpg in different climates and engine temps. My engine temp in normal running like motorways around town ect is around the 75 degree mark, which I thought was nice and cool. And at those temps it would return 30mpg no matter how I drove it, but when smelling the exhaust it was quite fumey, like it was running rich. Driving through Italy where the ambient temps were in the high 40's and every road seems to be on a slight incline, the engine temp would settle in the 85 degree region (all temps taken from scangauge, which reads from the coolant temp sensor) On 3 consecutive fill ups I returned just over 40mpg each time

After a bit of reading on the tdi forums have found that the ecu over fuels the engine until it gets over 80 odd degrees.
Cool running is caused either by the stat going soft and opening to early or the coolant temp sensor not reading right making the ecu think the engine is cold. Both faults really hit your mpg figures.
I'm going to be fitting a new sensor and stat, as I reckon my stat will be the original one. I will be going for a 85 or 90 degree stat (leaning towards 90) even on the steepest and longest mountain passes the engine temp never went above 92, the first stage fan kicks in at that temp and brings it down to 86, so I'm not worried about it running too hot.
I'll report back what I find, but it seems to me that these engines need to be hot to give you good economy