My facelift e320cdi estate didn't have one, I averaged 36mpg.
The E350cdi 212 estate I had after did and that averaged just under 33mpg.
The 350cdi struggled to hit 40mpg no matter how I drove it, as I posted before my E320cdi 211 (no dpf) would see 48mpg.
I think tyres and breathable engine makes the most difference.
When Fiona got her 320d touring auto it was on 17" 225 wide tyres, they were efficient Dunlops, I swapped the wheels to 19" 245 wide Falken FK453 tyrs on BBS CH alloys.
On the standard 17" wheels the car was averaging 49mpg, the moment we swapped it dropped and dropped and ended up averaging 39mpg!!!
I swapped back again and it was back at 49mpg once more.
In the end I settled on 18" M3 wheels on 245 tyres, but went Michelin, this saw and average of 44mpg.
Having mixed, cheap, crap tyres on your car is the first thing I would change.