First off, are you correcting your mileage for the mismatch of gearing and tire size? If not, do so, you may be doing better than you think.

But yes, your mileage will improve with better gearing. With 33s, I used to get ~20 MPG with 5.29s and when I changed to 4.88s my mileage dropped about 10% - 15% (or conversely MPG would have increased by that amount if I had gone up from 4.88 to 5.29).

Assuming a 4-cyl engine, you'll get better mileage up in 2800-3200 RPM range than you will below that. For a test, you could try running no higher than 4th gear and compare mileage to running in 5th gear (assuming you can use it).

But that said, a 4" lift plus an additional 2.5" of added height from the 33s means your frontal area is now 6.5" taller than stock, and than reduces gas mileage, especially at speed. I know I get at least 10% better MPG at 55 than I do at 65.