Thanks for all the replies!
Looks like the first recommendation is to adjust my expectations. If I'm getting around 40MPG, it's not outside the range that other folks are getting ... perhaps on the low side of average, but not a surprising number. And it may improve a bit more with time and miles.
The recommendations that don't require mods are to make sure I maintain good tire pressure (I do that already) and to ride at lower RPMs when possible. I'll try to do that and see what kind of improvement I get.
And the last recommendation is to give it some air. I've been thinking about pulling out the snorkel, switching to a UNI filter, and knocking out a couple of baffles (along with the required rejetting), but I didn't want to do any of that just for performance or sound ... hey I was riding a 600 before, this baby's got plenty of power for me at the moment :-) ... but with you guys telling me that these mods could give me a bit better fuel economy, I'll be giving those mods some more thought after all (just what I needed, a better excuse).
Thanks again everybody.