My 2 cents... If you want to chase 1 hp and .03 MPG at the risk of wasting bearings, go for it. Run the proper oil for the setup, period. As long as you're making 15psi at hot idle and 60psi at hot redline, experiment with some different weights.
I suggest, however, that you sneak up on it. Don't randomly dump in 0w20. The first time you drive it, you might do some massive damage. If it has 10w40 now, start by dropping to 5w30 or something.