There's a chart floating around showing appropriate regearing ratios. Just make sure you get the right gears for your tire size. You'll be fine so long as you do the mechanics right in terms of gearing, lift and trackbars etc., wheel backspacing, and--perhaps eventually--axle reinforcement.
But yes any bigger tire will adversely affect your gas mileage, that's just the way it is. And when your talking about going beyond 35s it's going to be a big hit as compared to the 32s you're on now.