I have a few ideas. I just got my Sonic last week, so the only thing I've implemented so far is a K&N panel filter, from which I've seen ~1MPG improvement in other cars in the past, but I:
1) got it too early for a decent baseline to be established with the stock filter, and;
2) think it may help because I feel that spool-up is slightly quicker in low revs and I can avoid downshifting to go up hills as often.
Overall, I think it's a good investment just because cleaning a reusable filter is cheaper than buying a new paper filter. I plan on having my car for a long time, so the $35 investment will easily pay for itself in maintenance costs alone.
I have a ScanGauge II that I've been using to diagnose a '99 Malibu I've been working on at my parents' house, and I really need to pick it up and use it in my Sonic. The full SG2 can show 4 parameters, and I will use it to show instantaneous MPG, water temp, MAP, and one more, depending on what I'm testing. Probably the best thing I've ever used it for in terms of fuel mileage is using instantaneous mileage to determine when I've hit DCFC while engine braking. I suspect the 1.4 is capable of cutting fuel at very low revs (as low as 1200 RPM, perhaps), but I won't know that until I get the car to tell me directly. When you're not trying to slow down, clutch-in is definitely more efficient than engine braking in this car, but knowing when you've hit the cutoff can help you get the most 'free' distance when approaching a red light. Having a Scangauge or Ultragauge in the past has proved invaluable when it comes to properly adjusting the 'nut behind the wheel'.
Pumping tires up to the sidewall max pressure may help save gas, but at the expense of traction. The stock tires (on 2013 15"s at least) go up to 44 PSI. I will probably play around with that in the near future to see what the max is that I'm comfortable with. 38-40 isn't far off, but a few extra pounds may be worth 0-2 MPG.
I'm interested in discreet body mods, personally. For me it's about getting the best mileage I can without drawing the wrong kind of attention to myself. I've ordered the 2012 belly pan from gmpartsdirect, and I may add an aluminum section in the middle to cover the exhaust pipe for even more improved aerodynamics.
Another possibility is adapting the Cruze Eco grille shutter. Apparently, that's the main difference between its 42 MPG highway rating and our 40, so if you can simulate that it may well be worth the cost over the life of the car. Here are the parts, no idea how much modification will be needed to fit on a Sonic:
GMPartsDirect.com - Shutter
GMPartsDirect.com - Actuator
There's also definite room for improvement in the rear, between the torsion beam and the rear bumper. I hope to develop a rear diffuser over the summer, but I have made such plans with past vehicles and failed to come through. The real difficulty is in finding decent mounting points under there without drilling holes in the car. I'm sure a little cleverness will solve it. We'll see if it works out.
I ordered a shark fin antenna from BNR the other day. It may not help noticeably, but getting that long stock antenna out of the 100+ MPH air flowing over the top of the car at 65 MPH highway speeds (see Bernoulli effect) has to help a little bit. Besides, I think it will look better. I'm pretty excited to get it in.
Finally, a possibility for our hatchbacks moreso than most is a 'kammback'. Our cars already come with a slight kammback (the spoiler piece), which appears to be secured with some foam tape and four screws. It shouldn't be too difficult to make a fiberglass or plastic replacement that extends that, say as far as the end of the bumper, and mounts in the same way. Color matched, it would hardly stand out against the stock unit. I think this is a good compromise between the stock configuration and a big silly boattail, but different people have different priorities.
Good luck modding for efficiency. These forums -- not just for Sonics, but every forum I've seen for any particular vehicle or set of vehicles -- are full of people who want their cars to go faster or look better, and many of them don't give a crap about gas mileage. I think we're fortunate here to have more representation from the eco-minded set than in most forums, but there will always be naysayers. The truth is, if you're paying $3/gal and you drive 15k miles/year and own the car for 10 years, going from ~40 to ~50 MPG is worth $2,250. I know most car owners don't keep a car past 6 years, but I plan to, and I'm probably not the only one. On the 10-15 year timescale, it does make sense to mod for efficiency in order to save money, as a few hundred dollars in mods could easily pay out in the thousands in the time that I own the vehicle.