The OD is 4th gear for the Auto, fifth on the 5-Speed manual. The only reason you should turn off the OD is to lock out your hightest gear for improved engine breaking, such as going down a hill or carrying a load and you need help to slow down.
Otherwise, to get the best mileage, allow your transmission to go into 4th or shift into 5th (manual).
Leaving the OD on, just means that all gears are availble for the transmission to use. If your driving in the city, your tranny rarely goes into 4th anways, so just leave the OD on, and turn if off when you need to.