Maybe people who have modified the intake or exhaust on their s could help me here!

(science bit )
If you improve the intake and exhaust the engine finds it easier to bring in fresh air and push out the exhaust, leaving more power available, therefore increasing the bhp. This (I think) is achieved through burning no more fuel? But I have always been under the impression that increasing horsepower would lead to a decrease in mpg.
So what difference does improving the exhaust and intake have on your fuel consumption?

(and if my science bit is wrong can anybody correct me!)