I think this is very cool.
This is what every engine modder wished they had.
To fix the cooling issue most dyno users have a huge cooling reservoir to cool the engine. Some even have roof mounted cooling tower.
Or is it the dyno brake hydraulics that are over heating?
How about once and for all confirm the gains of an alternator delete.
Just power the engine with an external battery and unhook the alternator and see what the reduction of engine drag does to fuel consumption.
Try building your self a water methanol injection setup. I don't think it will increase fuel economy beyond the added BTU value of the alcohol but it could increase your power for passing or hill climbing if you have such a requirement.
http://ecomodder.com/wiki/index.php/Water_injection
If you want to go down the rabbit hole, test an HHO cell.
Because the number 1 thing the HHO believes all claim is that they cant put their HHO cell on an engine that's on a dyno for some reason. They never have time or money but always claim it gets them 20% better fuel mileage.
Since you don't know anything about building an HHO cell (something only a true believer knows) they should send you one to test, so they cant say "you built it wrong" after it doesn't work.