[UFO]

Yes, the turbo actually helps efficiency by feeding the engine more air under a wider variety of load conditions, helping to burn the fuel more completely.

The only way that more boost is going to hurt your economy is if you are operating at high rpms and not using the available torque. Lower rpms will be better for economy providing your turbo is feeding enough air -- the VNT turbos on the ALH TDI engines are very good at this, if you are using one with a standard wastegate it may not be able to feed the engine at lighter loads.