You can leave the factory fuel filter in place if you like. Wont hurt anything but it is designed to be bypassed. Your choice. The 06 wont get the fuel mileage that your first gen cummins did. By design it actually has 3 fueling events, A pilot, main, and after injection sequence. This is to make the engine quieter and also for emmisions. The earlier engine was basic with a mechanical rotary style injection pump that only fired the injectors once per cycle. They were easy on fuel but, louder and produced more emmisions.

There are a couple things you can do to increase economy. Some have had luck with Computer programmers and changing fuel injectors or nozzles to slightly uprate the power and improve mileage.