We got to the bottom of the DSG thirst on another thread.
Basically, there are two types of DSG box. The first is a 7 speed 'dry' box which is only fitted to the lower power cars (up to 150 PS I think), and the second is a 6 speed 'wet' box which can take more power. The former, being dry, is more like a traditional clutch which doesn't drain power due to fluid friction like the latter does. The former also weighs about 20kg less, in part due to not being full of oil! You can see this in the figures. Both on the Audi and Golf, the 1.4 140PS engine with cylinder deactivation mated to a DSG gives better economy than the manual, whereas, for the higher power variants, the opposite is the case - the manual is more efficient (though probably slower in real life due to us all being a bit crap at changing gears most of the time!)
What is a bit odd though is that even this wet DSG was listed as being more economical than the manual in the Mk5 gti, something I can't really explain.