Initially, yes. It will improve, but don't expect the figures quoted in the brochures. Mazda told me, when I had my first one, that they don't consider it run in until 12.5k miles. Mines a manual, not an auto, and my overall average is about 43/44mpg after 30k miles. However, I've also used Shell Vpower diesel since the start. I believe it does make a difference. I would also describe my driving style as "relaxed", I try to use the torque rather than the power to make progress.
Alan