Buy a diesel?
Seriously, the GTI isn't horrendously economical. 35mpg is about right. I've hit 40mpg but that's sticking to 60mph strictly. Other than the usual (make sure you're not carrying extra weight, tyres correctly inflated, making sure it's had a service, etc), there's not a huge amount you can do. If you want better mpg, you'd need to look elsewhere.