If anything, changing the existing intake system will make mileage worse!
Since you said it was on a Sidekick, you might also consider cleaning the tubing that runs from the EGR valve. This passage usually gets clogged with carbon causing OBDII PO400 errors. Replacing EGR components won't be of much use without cleaning out this passage first.
Check out this link for more info:
http://www.rottenbob.com/x-90/p_egr.html(Found by a search for
EGR at Ack's FAQ - see signature for link...)
Adding a K&N filter is a different thing altogether! You should be able to break into the fresh air intake at the Filter box outlet thus bypassing (and removing!) narrow intake "plumbing" that meanders through the inside of the passenger-side fender... Or so I recall..
I hope that this helps!