I have replaced numerous things on my 93 for better mileage, some really helped. I haven't done any "mods" to my X, just OEM style replacements. I used to get around 11.5 to 12 but I now bet 13.5 to 14. I have replaced/changed the following:
-Spark plugs (use Motorcraft, Bosch +4s aren't that great for $5.99 a pop)
-Plug Wires
-Thermostat
-K&N Air Filter (1/2 mpg gain there)
-PCV Valve
-Rear Differential Fluid (now use M1 75W-90)
-Front Differential Fluid (M1 75-90)
-Gas Cap
-Oil and filter (M1 5W-30 and Wix Filter)
-Tires all at 40 PSI
If your engine doesn't have too many miles on it, I highly recommend using a synthetic oil. My 4.0 quieted down significantly after switching to Mobil 1. Also, my X really seems to run well on Chevron 89 octane gasoline. I have tested it many times, and I get almost 1/2 mpg better with Chevron 89 octane than I do with 87 or 91.