Welcome to the site!
You'll hear a lot of the same thing when it comes to "I just got a 6.0, what do I do with it?". First start reading and learning about it and ask questions, you're off to a good start. Read the stickies, the tech section and links in peoples sigs.
The biggest and first thing you need to do is get something to monitor the engine, an Edge Insight or a Scangauge 2. You need the monitor to watch your EOT vs ECT delta. If the oil hits 15* hotter than the coolant on a flat highway cruise unloaded your oil cooler is clogged and the "dreaded 6.0" problems start. With the monitor you will see the clog coming and save yourself so big money in repairs. The monitor will also let you see the FICM voltage and get that repaired before it causes a whole host of other issues. Basically the monitor will tell you what is failing before the signs and symptoms will and you'll save a ton of cash. Don't get something with tunes this is just to monitor with. For tunes like 2 stroker said, SCT with custom tunes is the only way to go. Don't tune it until you know the health of it (that's what the monitor is for) or you may regret it, get rid of the tune and go stock for now until you get to know the truck and it's state of health.
That leads to number two, don't use the Bully Dog tuner. Don't use anything Bully Dog is what you'll most likely hear.
The stock intake is the best one for the 6.0. The "cold air intakes" and aftermarket high flow intakes don't give you anything but problems. Also use only the Ford/Racor fuel and oil filters, the others don't cut it.
At 10* the truck would like to be plugged in but it will start without it. You should however already have the block heater. Look in behind the bumper by the passenger side tow hook, that's where mine was and it took 5 minutes to find it!
If you're looking to improve your mileage don't drive it! You won't find anything that will actually save you money at the pump.
The best mileage you'll get is by going easy on the skinny pedal although the truck will like to be driven hard. It keeps the turbo clean.