If you install an XJ front axle shaft in your YJ, I dont think that you will see a significant drop in MPG's. But i'm pretty sure you will feel a new vibration. Specially at higher speeds, since the front driveshaft on YJ's aren't balanced from the factory.
I installed a posi-lok on my front axle, and i love it. it lets you know that your front end is definately locked in. The kit for one is kinda pricey anymore, usually around 200. So a lot of YJers are making their own, from a hand throttle cable or similar. But the posi-lok wont let you down and its there when you need it, unlike the vacuum lines that are forever giving problems.