NR04

Actually, I think you are both correct. 0W40 has a wider temperature range than 5W30, which means it has more additives for both lower and higher temperature stability. If you're operating at 30degrees Celcius, 0W40 will be thicker than 5W30. However, if you're in freezing temperature (0 degree Celcius), than 0W40 will be thinner than 5W30. I've heard argument that wider temperature rated oils will lose its viscosity rating quicker due to heavier use of addtives. I think you will find in most cases that wider range oils cost a little bit more due to this fact.

When you say big jump in MPG, how much are you talking about? I personally don't think you should see a very noticeable difference between 0W40 and 5W30. One thing to make sure is that you didn't overfill when changing the oil. That will affect the MPG and more importantly kill the engine due to foaming.

As for the frequency of changing your oil, I really think the synthetics we use can easily last 10K miles. I've seen a lot of discussion on other forums about negative impact of changing your oil too frequently. Some people even send the sample of their oil at difference intervals to a lab for analysis. For me, I like to stay around 8K. Personally, I think changing your filter in between oil changes is better. Therefore, I change my filter every 4K. Cheap insurance without having to worry about whether I'm changing it too frequently or too little.