Keep everything well maintained, filters clean, oil at 5k or so, tires properly inflated.
Drive with a light foot, and only use the added power from the chip when you really need it.
An intake should help a little bit as well.
Warm up if it's really super cold, but on modern diesels it's not necessary....power will just be down until it warms.
Don't waste valuable fuel idling before shutdown to "cool down"....unless you were pulling a trailer, hauling a heavy load in the bed or runnin the crap out of it then go ahead and turn the key off when you get to your destination.