mpg depends on driving style and gearbox. Like for like driving, the GTD in DSG flavour (my dad's) was around 10% thirstier than mine. In the R, i'm getting at least 10% better than most DSGers here. On my 20 mile each way commute i'm averaging around 33mpg going to work and around 31mpg coming home (when it's a bit busier). I use my right foot when I can, but I also preserve my momentum whenever possible and don't use the brakes as often as I could, preferring to read the road ahead ad let the car slow itself down.
New or used, unless you're wanting one of the very first Rs, with the incentives around at the moment, i'd say buy new if you can, especially if PCPing, as the new cars get a far better APR%.
As far as oil consumption goes, mine has used around 1/3 of a litre in almost 7k miles - I topped it up last week for the first time. At least I think it has used 1/3 of a litre, the car had a new Turbo at around 4500 miles, and i'm guessing they replaced the oil as part of the work, maybe they were a bit tight and only refilled to somewhere around the minimum mark on the dipstick?
If you get the service packages (with a new one, maybe not available with a used one), your running costs (maintenance) won't be any more expensive than a GTI PP, unless you keep it long enough to need a Haldex box oil change (40k miles), and even that isn't silly expensive (about £120). Longest i've kept a VW bought from new (and i've had 8 of them) is 26k miles and the style of driving I use, i've never had to replace any brake pads/discs.
As far as premium tyres go, i've always found that Michelins are the longest lasting, and are good all the way down to 2mm, whereas Pirellis seem to wear really quickly and Contis are reasonable in the wear rate but really fall off in wet performance below 4mm. Uniroyal Rainsport 3s are good in the wet, they're just under 2/3 the price of a Conti 5 or Michelin Pilot Supersport in 19" size, but will last less than 2/3 the mileage - so price per mile for your rubber is about the same. They'll be cheaper but you'll be buying them more often.