My X5 3.0 averaged 14.3 litre/100 km (20 mpg Imperial) in real world mixed use.
Our X3 3.0si is averaging 10.3 litre/100 km (27.5 mpg Imperial) in similar mixed use. So I saw a 35%+ improvement without having to buy more expensive diesel fuel, and I can get a manual transmission. I realize that diesel isn't more expensive everywhere.

The OP could see similar gains, and more, because he is coming from a 4.4 V8. He can't get a newer diesel E70 for similar prices to a 2005-2007 X3.

Personally I wouldn't buy an E70 because it is so large and heavy, and that is the only diesel BMW SUV we have here so far. When (and if) the new X3 20D arrives in North America, I will consider it.

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2007 X3 3.0si, 6 MT, Premium, White

Retired:
2008 535i, 6 MT, M Sport, Premium, Space Grey
2003 X5 3.0 Steptronic, Premium, Titanium Silver
2002 325xi 5 MT, Steel Grey
2004 Z4 3.0 Premium, Sport, SMG, Maldives Blue