If you're going for performance upgrades solely to increase economy, I'd say save your money. It will take years to get back what you spent let alone start saving you money.
For those paying for performance, the added economy is just icing.
You have a point there, if the sole reason to increase mpg is to save money, there aren't many mods that will pay for themselves.
Consider though the performance angle... there aren't any performance mods that pay for themselves either; the stock sonic, even the lowly 1.8 stock sonic, is more car than you need, with better performance than anything else in the segment under 20K, at least anything I test drove and I drove a LOT of those little hatches.
Some folks pursue mpg the way some of use pursue performance; as a goal in and of itself, not to save money.
What has been reported as improving mpg? I can think of several, although I haven't seen good data back on any of them to prove it one way or the other.
Intakes. Every intake from just replacing your filter with a K&N, to SAB mods, to full blown ZZP or DDM has been reported by someone to have increased their mpg. The one most likely to do this would be the reviled (by power modders) Injen, which is basically a WAI, which should in theory result in increased mpg. It would be possible to build an intake that warms the air even more, just as some folks are doing cold air thru the fog vents for more power.
Exhaust. Honestly exhaust is mostly about noise, and to some extent about power, but I have heard mpg claims made here too.
Tune. Lots of folks have said they see an increase in mpg using a trifecta tune. Interestingly, many report more gain on the performance tune than the "eco" one... and yet a recent post by Jerry at BNR says that the "eco" tune for the sonic is really just the stock tune.
Tires. Hardly anyone likes the Hankooks the car comes with. It should be easy to find something lighter with lower rolling resistance and see some improvement.
Wheels. Here too, lighter wheels better. Mostly we get these for looks, but you could find some aero designs that might help... I saw a report of some gains from a guy that built wheel covers using pizza pans.
Reducing weight. Go on a diet (the infamous driver mod), but also start taking weight out of the car. Consider getting rid of your spare, replacing it with a can of fix-a-flat, a cell phone, and a AAA card. Go hardcore and replace major body parts with carbon fiber. Lots of other places weight can be lost. Move less mass, use less fuel.
My personal favorite; convert to E85. Yeah, your miles per gallon of fuel go down, but your miles per gallon of gasoline go way way up, since there's very little gasoline in a gallon of E85.
But seriously, no matter what you do, altering driving behavior is still going to be far and away the biggest change you can make, it's free, and doesn't violate your warranty. Consider Smit and me; same basic car with more or less the same mods, he can get 60 miles from a gallon and I can get 22 miles from a gallon. I don't care what you do to the car it isn't going to make a 300% difference.