Oxygen sensors increase fuel mileage?

The O2 sensors only report what is happening with the fuel / air mixture. If it continues to detect a too-lean condition, the computer will add fuel to all the cylinders. You have to identify where that extra air is coming from, not replace the part the measures it.

A vacuum leak, a misfiring cylinder, low fuel pressure, and an exhaust leak ahead of the catalytic converter will all introduce extra air but that should affect the emissions test. If the O2 sensors are switching from rich to lean a couple of times per second, they are working properly. Look for something else like dragging brakes, low tire pressure, etc.