I have xenon headlights and like others run with them on full time except in sunny weather as only the blind it seems are allowed to drive in Edinburgh
I haven't noticed any significant drag on using them vs not in summer when it isn't raining. My engine has a pretty heavy flywheel though so I don't think the load of the lights makes much difference.
My SG2 LOD and GPH do not change at idle lights on or off.