You're not going to get good, as in Prius, mpg, but you can get good XJ mileage. And that's a great thing- EcoModder isn't about buying new cars, it's about maximizing what you have.
The first piece of equipment you should buy is a ScanGauge or an UltraGauge: once it's calibrated you won't have to think you got a difference in mpgs, you'll actually know what you're getting. That's critical, because as iikhod alluded to, your right foot is where the biggest improvements are. But the overall sloppiness of SUV efficiency can't be ignored. You can work on aero and tires to get some impressive % gains in mpg. This thread from a long time ago shows some good aeromods to think about that are very nicely done, without changing the look of the vehicle:
Jeep Cherokee Aeromods. As to tires... what psi are you running, and are you taking their diameter into account when calculating your distance traveled?
As it is, any increases in combustion efficiency that an extra (see?, I didn't say upgrade) fuel filter may bring are going to be more than counteracted by your other mods that increase the amount of gas being squirted into the cylinders: the CAI and throttle body. The 4.0 has enough power to move the rig. Throwing extra gas into it isn't very good for increasing your mpg. If "efficiency" means towing a boat up a mountain quickly, then by all means, shove more gas into those cylinders and get as close to perfect combustion as you can. If you want to improve your mpg, find a stock throttle body and while tearing out the CAI, think about designing a warm air intake.
But if you're not going to get a ScanGauge or UltraGauge, at least get a Fuel Shark.