Changing out the air filters on a regular basis is very important to getting good performance and MPG. Your air filter being 4 years old is way overdue unless it only has a few thousand miles on it since new. I typically change out the air filter every 3rd oil change (6 thousand miles per oil change). I inspect the air filter on every oil change to make sure it's still in usable condition. If I put it up to the outside day light and don't see through it, then it's time to replace regardless of mileage on it thus far.

In terms of fuel filter, my wife's X5 had 138K miles before I changed it. But before that, the car was exhibiting some strange performance problems. Car won't start after 1/4 tank left, car runs and eventually dies on the road when it fuel tank is around 1/4 full. Took me a while to recognize that pattern. Got errors that pointed to bad ignition coil, CPS sensor and fuel pump and so forth. After throwing money and replacing those parts just mentioned, it turned out to be a partially clogged fuel filter...!

Normally, on a gas engine, the O2 sensors and spark plugs should be checked as well, but since your car is a diesel, don't think those would apply. However, it has been stated that bad glow plugs on diesel engines can result in poor mileage.