To tune the oxygen sensor, set your "box" up so it's input=output. Then, while driving, start leaning the motor out until you just start to lose power. DON'T GO LEANER once you start to lose power. At that point combustion efficiency begins to drop, manifesting itself in loss of power. That's as far as you want to go. Take a look at this power graph.

The "Targeted A/F Ratio" has generally been where the most efficiency is gained. Take note, however, that even if you get a good mileage increase from tuning the oxygen sensor, the ECU just may eventually negate your tuning through it's short and long term adaptive memory. You can "cure" this in two ways... The simplest is to address the "keep alive memory" in the ECU. You would basically put a relay in-line with the KAL wire so the ECU sees battery voltage with ignition on and crank, but severs the connection when you shut off the ignition. This eliminates the learning process. The other way to tune the ECU, is to address the other various sensors on the engine such as the MAF, MAP, CHT, IAT, and ECT sensors. Properly tuning these sensors will increase your mileage even further. I'll get you a link in a bit...