If it's the coolant sensor, you might get some smoke at start-up? They're about £30 from a dealer.
Other things that affect mpg are: service - when was the air/fuel filter changed? Thermostat - does the temperature needle go straight to 90, or does it hesitate at around 70 then go up? Is it up to 90 in cold weather too?
Get some fuel additive - like Millers Diesel Power Plus - use a double/triple/quadruple dose in the next few tanks to clear out the injectors.
Driving - do you have a 'heavy' right foot? Lots of town driving? Both of these eat mpg.
This happened to me and it turned out to be the thermostat and the coolant temperature sensor at the same time. I also only noticed the temp gauge going up slowly in cold weather, it was fine when the temp was +10 or higher. I was getting 38 on a good day, now getting 52 on a good day - it's down as 43 in Parkers!
My haynes manual says that if you have a car that's 5yrs old or more, consider changing the thermostat.