I haven't looked into the fuel consumption, but given that headlights are a safety device I wouldn't consider deleting them.
There's a lot of talk here about "low hanging fruit" and I agree with it. Headlight omission is neither a significant load relative to other factors, nor a good idea to omit.
Projector-type HID's might save you 20 watts per bulb, and if you convert all your other lights to LED you might shed 100 total watts energy consumption
at night ... or roughly 1/6th of a horsepower after generator/wire/etc losses are considered.
So, since
the internet tells me a gasoline engine burns roughly 0.65 pounds of gasoline per horsepower per hour, you're looking at 0.1 pound of gasoline per hour at night that you would save by performing a thorough update of your entire vehicle's lighting system.
If we are to go with the weight of gasoline at 6.3 pounds per gallon at normal temperatures, that's 1/63rd of a gallon per hour you could save. In other words you would have to drive 60+ hours at night to save 1 gallon of fuel vs. the same night driving with your conventional headlights. At 60 mph that means you'd save 1 gallon every 3600 miles roughly. At $2 gallon, vs the $200+ it would cost you to update your lighting to high efficiency bulbs/diodes, you would have to drive a third of a million miles
at night to recoup your costs.