The TDCI has a pair of thermostats the regular water thermostat and what's called the 'oil cooler' thermostat. Both affect the water temps, and ideally you need to replace both at the same time.

It's definitely wise to replace both, and also to get them from Ford (many owners have had issues with non OE thermostats).

The TDCi will always be sluggish to warm up (diesels are more thermally efficient than petrols, so waste less heat) but 30 mins is taking the piss.

I would be very surprised if swapping the 'stats didn't dramatically improve your warm up times.

Around 40mpg is fair game for a TDCI if you drive it fairly enthusiastically. Ignore the in car mpg-ometer though, as they overestimate by as much as 5mpg.