Agree with Technoduck. The O2 sensor improved my mpg, but it isn't going to get you from 10mpg to over 20! There is something more than that. If you can get hold of a fuel pressure gauge and check the fuel rail pressure (check this site:
http://clarks-garage.com/ and look under "Garage Shop Manual" for the "Fuel Pressure - Checking" section you should be able to tell if the pressure regulator is the problem. You may also want to check the injectors to make sure they are working correctly and you don't have one sticking open. Try taking the fuel rail off with all the injectors in place. Put the business ends injectors (still attached to the fuel rail) into four containers. Cutting the bottoms off four clear plastic soda bottles would do. Turn the engine over for a few seconds with the key and see if all four injectors are flowing about the same. It will give you a rough idea.
See if that helps. It might also be worth checking for leaks around the fuel pump.
That site, if you haven't found it already, is very useful. Add it to your favorites I guarantee you'll need it again!