One word of advice, do not ever turn your engine off while driving. Your power brakes/power steering are no longer powered, and you can get into a nice accident.


Klaus is 100% correct (as usual), these cars are not designed to get high mileage. They get respectable mileage and are safe, well built machines. There are few things that can increase your mpg:

Tires not only can the choice of a tire make 3-4mpg difference, so can keeping it pumped up.
Wheel well covers could increase 10-15% but that depends on how the airflow is behaved right now. Since I have no idea what the s40 looks like in a wind tunnel this is just a guess.
Turbulator tape or Vortex generators can also help depending on where the flow separates on your car. Assuming its well designed, they might be useless.
Maintain the car, all the filters, the right oil, no vacuum leaks, etc. all contribute to dwindling mileage, so make sure the car is operating correctly.


I've done little of this, but loaded up with a good 500lbs of cargo, the best I've ever got in terms of mpg was 33 for a 400 mile trip in my 850. If you want to see 40+ its likely you need a different car, or at least engine. Some to the diesels will get you there, but you cannot just drop a diesel in this car.
--
If you're not driving it "like its stolen," are you really driving?