I'm willing to bet if you replace your O2 sensor you will regain some MPG's.
.
.
.
.
Now that your done yelling at me in your mind (because you said you replaced it already), let me explain the wonderful world of Stainless Steel headers. They don't conduct electricity as well as steel or cast iron (stock header).
OEM SR20 O2 sensors (front), where all 3 wire. This means 2 heaters 1 signal. The ground was gotten from your header, which got it from exhaust/engine. Solution to this? Get a 4 wire O2 sensor with a dedicated ground wire.
Details Here. Thanks to DC Scotty for finding out about this. I regained 6mpg highway after getting the proper O2 sensor for the SSAC header.
I would first make sure your alignment in the front is good. Especially if the car is lowered.
After that Jack up one wheel at the time and spin them by hand (in neutral for front and handbrake off for rear). This will show if your brakes are locked up or something else is creating drag to the wheels.
Look around your fuel lines, make sure they are not leaking and are healthy. Check to make sure your gas tank holds pressure. If it doesn't the fuel is evaporating.
Also your SAFC could be off too, but as you said the problem still was there before the safc.
What intake are you running?