Use the highest gear you can as long as the engine is not labouring (ie any anti stall devices are not firing in fuel you haven't requested). In a diesel car, you should be able to up through the gears without any use of the throttle at all, this will give you an idea of the lowest speeds you can run in in any gear. The anti stall will fuel you until the engine is happy to run at that mix (zero throttle) and that is the lowest speed you should use in that gear. Shift up early (if your lowest speed in 4th is 30mph, shift up into 4th at 33 ish), and use as little throttle as possible, anticipate slowing down and try to keep rolling (using the brakes and low gears are your enemy, so stop start driving is evil!)
High gear + light throttle = low fuel consumption.
If you have an instant fuel cosumption readout, drive at a constant speed (say 30mph) and choose 2nd 3rd 4th etc until your engine labours, and see what effect it has on your economy. You'll neeed to use more throttle in second than in the higher gears, so economy falls. In 4th, you should be using light throttle and a longer gear, so economy is good. In 5th, you might start labouring, so you might not be as efficient as 4th, but if your engine isn't labouring, then the higher gear is always more economical.