I don't think you will save enough fuel to notice it. In other words, maybe 2-3 mpg highway. Definitely not more than 5 mpg, and you won't lose mileage ,everything else being equal. Load increases but rpm goes down. One increases fuel consumption and the other decreases fuel consumption. I think that you will save fuel, but it's well within tank-tank and seasonal variance in mpg so it's not very noticable. I don't drive any faster but the car is at 2000 or 2100 rpm instead of 2500 rpm and it's a lot quieter.
Here is the how-to:
http://www.myturbodiesel.com/1000q_how_to/multi/5th_gear_swap.htm
If you do a lot of highway driving, it makes more sense, if you want to lower the highway rpm, have a chip or other power upgrade, if you plan on keeping the car long term, it makes more sense.
And remember that you can sell the old gear for about $100-150 to a gas VW 5 speed trans so the final cost is under $200.