I have the same problem, even after I changed my LLambda's. i am now suspecting MAP or Temp senders. If the ECU thinks the engine is cold it will run at max fuel.
I just havn't got he time to investigate it yet, daft really I am only getting 20-23 MPG.
If you find a cure for yours let me know. Good advice is always found on the
http://www.rs2000-16v.co.uk/newsitefiles/indexnew1.htm website
Cheers Nick