Most after market upgrade parts, including exhaust, are designed to give increase in power, including most aftermarket exhausts. Also, messing with one bit of the engine while forgetting to adjust another (i.e., exhaust, bore, ignition timing, compression, carburation, etc), can give you all sorts of trouble, like running too lean or too rich, having your system sooted, overheating, inefficient fuel consumption, or other problems. Engine tuning should not be taken lightly by a novice as you really need to know what you are doing to be able to improve the characteristics in the way you want.
Aerodynamics have a fairly big impact on duel consumption, more so than weight loads, especially for lighter bikes. Tighter clothing, lower and narrower handlebars for a more tucked in riding position (uncomfortable), a lower seat for even less body exposure (more uncomfortable still), narrower panniers, etc. can make a significant difference... go on a diet, have somebody trim off your head and half your torso, and you would get great mileage...
Increased tyre pressure will also reduce your consumption a bit, as will sticking to the appropriate tyre for whatever surface you are riding on. Using a sand tire on the highway or a street tire on sand should be avoided if you want great mileage... anything that will make your bike roll with less strain will reduce fuel consumption is ofcourse what you will try to achieve
Rather than spending time and money trying to alter the characteristics of the bike and the way you ride to save fuel, I'd recomend fitting a larger main tank or some sort of auxilary fuel system instead. An inexpensive spare fuel tank/jerry, can be fitted in many different locations on the bike, and can easily be integrated with your main tank using a 12V fuel pump and a switch. Or, if you want to go even cheaper and easier, just use a regular Jerry for those stretches where your original tank will not provide you with enough juice.