No, in most cases headers increase MPG. They increase the flow of exhaust and allow your motor to operate more efficiently. The more you free up your exhaust the more power and MPG you can expect to see. Eliminating U-bends, and restrictive pipeing will also increase the flow of exhaust. New exhaust is one of the cheapest and easiest ways to get better numbers out of your car. Including Power, MPG, and a better exhaust note. You might also want to consider a new air intake(Cold Air Intake works the best) this allows your motor to suck in more air which will also increase power and MPG. It could cost you anywhere from $100-300, but you can expect up to 20hp and 5mpg. These are in my opinion the two easiest and cheapest ways to increase power and MPG.