It is highly unlikely that an ATF cooler would drop MPG. But, if that is something you worry about, then install a thermostat on that cooler. Some vehicles, that monitor ATF temp, have delayed upshifts and delayed TC lockups to warm up the transmission quickly. I haven't noticed that in my 6i.
Sounds like you need a good ol' fashioned tuneup.
New Mazda air filter is a must. I change my air filter yearly. We use lots of sand on the roads during the winter. I would never consider running it longer then 1 year.
Oil/oil filter. Make sure you are using a blend or full synthetic 20wt. 0w will provide slightly better cold efficiency then 5w in those northern winter climates. IMO, synthetics are best. Consider a 5-10 minute solvent flush at your next few oil changes. Carbon, crud, or sludge buildup could cause MPG/HP issues.
ATF, get it flushed if you haven't. Then practice a simple drain/refill every 6-9 months with a good blend MerconV or Multivehicle ATF. Use a synth like Redline, Mobil1, or Amsoil, if in your budget.
My plugs look excellent at 35k miles. They should easily last 100k. When in doubt, replace them. I'll just clean, gap, and dielectric grease 'em.
Alignment; I find many cars that lose MPG because of bad alignment. Even if you car tracks straight doesn't mean that it is correct. Equal uneven tire wear is something to look out for. Tire pressure is just as important. I check my WEEKLY using a quality calibrated tire pressure gauge. No pencil or stick tire pressure gauge here! And, I like to run 2+ PSI over the OEM recommendation.
PSF, don't forget to siphon/refill your PSF. Use the same fluid as your AT.
FI and IVD cleaner: You should consider running 2-4 bottles every year of quality fuel system cleaners. Some of the good ones are BG44k, Ventilsauber, Techron, Regane, Redline, Amsoil......... These will remove any valve deposits, help keep the injectors clean with good spray pattern, and help remove carbon deposits in the combustion area(your pistons and chamber).
Inspect the brakes. Something like a dragging caliper, hung E-brake, could cause a drop in MPG. You should be bleeding your brakes every 2 years which will let you inspect everything, if your brakes even last 2 years.
If road salt is used in your area, you should clean all power and ground cables. Corrosion will affect performance. Brush clean all drivetrain ground, battery, starter, alternator,....cables.
While at the dealer, make sure you have the lastest ECU software update, and that all sensors are working.
And, how did you plumb your ATF? alone, parallel, or series with the stock cooler? before or after?
from shifting 1st to 2nd).
