An 02 sensor can fail, producing codes. They also get old and react less quickly to changes in the exhaust stream. Unfortunately, OBD-IV, our engine system, does not give us information on this. You can see this on newer diagnostics with charts and all kinds of useful information, but our older system simply doesn't tell us. (Yes, maybe with an oscilloscope and some deep experience, not sure!).
Ok, this gets meaningful because the engine runs after warm-up, in closed-loop mode, meaning the O2 sensors feed back info to the fuel injection, basically fine-tuning the injection pulse. So, it is better to have O2 sensors that react quickly.
Will new O2 sensors help MPG? Maybe a little bit. Should you change them? The payback probably is not there. But, you may be the type of person that wants to change them just to have it out of the way. I'm like that.
You have already read plenty on MPG, I bet. So, very briefly: Driving habits, gearing, in/out of 4x4 mode, primary maintenance (plugs, wires, MAF).
After that, it may be advisable to figure out potential gain. Synthetic fluids should help, a little bit. What does it cost to convert to synthetics? A manual is more thrifty than an automatic. What does it cost to convert to a manual trans?
I'm doing my O2 sensors next year in search of a smoother idle (intake bolts, yes, I know), and frankly, just to get it in the books so I know what I am driving.
But, to me, a warm afternoon working on my truck, that's my candy, it's my therapy. So, that's just me. I just replaced my plugs with the factory spec Motorcraft double platinum, not the finewire, the originals. I have two more sets of those same plugs sitting on the shelf waiting for these to wear out in another 5 years. That's just how I roll.