After 1998 Ford started using Returnless fuel delivery, so fuel pressure runs at 65psi in the fuel line from the tank to the injectors.
Any small leak would effect MPG, if possible I would get a fuel pressure gauge and check if pressure drops and continues to drop after engine is shut down, indicating a leak.
O2 sensors use a chemical reaction to test for oxygen in the exhaust, so they do wear out, and they wear out towards the Lean indication, which tells the computer to run engine richer, there would be no code because the O2 sensor is working, it is just causing a richer mix, so MPG goes down.
MAF(mass air flow) sensor plays a big roll in fuel/air mix, and these do get "dirty" over time, but are easy to clean.
http://www.therangerstation.com/tech_library/CleanMAF.html
Also make sure air plenum(air tube from MAF to Intake) is tight and crack free, the MAF sensor only works well if ALL air coming into the engine passes it, an air leak allows unmetered air into the system.
Fuel injected engine can't use a standard Choke Plate like a carb did, so to start and run a cold engine using fuel injection you need something to tell the computer the engine temperature, so the computer can richen the mixture until engine warms up.
The ECT(engine coolant temp) sensors is what is used, this is a TWO wire SENSOR that looks similar to the ONE wire SENDER that is used for the dash board temp gauge.
The ECT sensor is a simple resistance sensor that tells the computer the engine temp.
If engine runs rough cold but fine warm then this could be the issue, or if engine runs fine cold but rough warm this could be the issue.
But easy to test with an OHM meter.
ECT sensor acting up would usually turn on the CEL, but not always.