I don't have any mileage numbers yet, my Scangauge calibration is completely off, but now I have at least calibrated the "speed", meaning the miles indicated. I did fill it yesterday and I may fill it again this weekend to get a first look at the new mileage capability.
I started this thread on tdiclub just showing the issues (minor) I had in doing it.
Starting a automatic to manual conversion - TDIClub Forums
Total cost looks to be about $1500. I bought the shifter, clutch pedal, starter and transmission with a lot of other miscellaneous parts from a local person for $900. The rest of the expenses were for fluids, hardware, shift knob, new relay, new flywheel and clutch, and an aftermarket shifter to avoid interference with the power steering hose (manual and automatic are different).
The main difficultly was extracting the old transmission. I supported the engine with a Harbor Freight support bar ($65), and used a transmission jack to get it out the bottom once separated. It's very heavy and needed rotation forward, and of course the axle flanges wedged between the subframe and the engine. Installation of the manual transmission was much easier as I removed the axle flanges, it's almost 100lb lighter and needed no rotation.
The trickiest part was the wiring. The reverse switch was spliced in to one of the old automatic connectors, and there are two switches on the clutch pedal to wire, one to the starter interlock, the other to the cruise control. Unlike the gasoline VWs, the TDIs share an ECM between manual and automatic models, so I just used Vagcom to tell it the good news about the new tranny.