Like Bob, the first thing I did was change all the fluids and filters. This way you have "base line" for future maintenance. For your fuel economy, use something like Diesel Purge to clean the injectors. Use a cetane booster like Power Serivce Diesel Kleen with every tank. You can find this at any Wlamart. Also a valve adjustment will help.
As for the never ending question about oil. If you do a search on "oil", you will find a bazillion posts on the subject. This subject had start many on line "wars". Without getting into another battle about oil, I will limited my remarks to $. When thinking of switching to a much more expensive oil, consider that your car requires 8 quarts (2 gallons) of oil. I stick with conventional 15W-40 and change it hot and often, every 3k, religously. Oil filters cost about $7 and the Chevron Delo oil (2 gal.) cost about $12. With synthetic oil that $19 oil change goes up to about $40.

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1999 MB SL500 (110,000 mi)
2004 Volvo V70 2.5T (220,000 mi)
2014 Tesla Model S 85 (136,000 mi)
MBCA member