Yes your mpg might (will) suffer once you put a new exhaust on. But not necessarily because of the exhaust. As sonnyboy11 stated, a proper tune will help. Not only with mpg, but with how the bike performs with the new exhaust.
I was getting around 45-50 mpg prior to putting on my Chain Reaction dual high mount 1/2 pipe system and K&N filter. Right now I am running the Arrow 3-1 Tune off of the TuneBoy site. Since then I have dropped to around 40mpg. But I guarantee thats not because of the exhaust. Its because this tune is not ideal for the CR and I'm giving the SOB all she can take
This site and 'TheOtherSite' both have guys who have done extensive dyno time with all sorts of setups. My plan is to 'borrow'

one of their tunes this weekend and get my bike running better. Of course I expect my MPG to drop yet again
As far as MPG during my daily commute to work... I have tried what many on this site have suggested. Ease off the line after stops, shift early (4.5k-5k) and enjoy the 'Easy' ride. Doing this my M-F MPG is usually around 45+. Which is excellent compared to my weekend rides