This topic is a hardy perennial. Some say turning sport mode off helps consumption but most say it makes no difference (its how you drive) and some, like you, say it actually makes consumption worse.
 
Personally I'm of the opinion (stated by John501) that the button is purely for legislational reasons and is only used by masochists and the delusional

My experience as ever differs from others.

For S/N I have seen a difference on my daily drive (A/B roads max 60mph) , in N mode I can stay off boost keeping up with traffic and maintain between 38-44mpg on a whole tank depending on the amount of overtaking or clear sections when I can gun it past the 50 everywhere brigade, that's pretty reasonable. In N mode it is easy to keep the car at 60-70mpg on the inst gauge when in the traffic train, in sport mode the car is eager and boosting a lot more for little pedal travel and for the same instances of cruising in traffic I can't get it anywhere near that, more 50ish which sees me over a tank at 33-38.

That was prior to SS kit, now I struggle to better 39mpg in N mode and sport mode is much the same as before.

On motorway, I can't find a difference between N and S really, it seems you need plenty of boost to maintain a the real motorway speeds, I could see that for this sort of cruising Sport mode which has the extra torque might yield a benefit.

Regarding fuel, I have definitely experienced a difference, it was most noticeable when I had done a morning of laps on one fuel and switched to the other, in this instance it was very much night and day, driving about day to day when you are not at the limits I would imagine it is less so. Besides the manual tells me to use 98 if I have a hope of reaching the advertised figures ..... that I already reached prior to SS remap now I reach higher figures again

A friend has an Alfa Guilietta and he leaves his car in "N" only occationally switching to "D", I have told him he shouldn't be allowed on the road.

Get some new friends

ofcourse  'some say " that the weather, colder or hotter will also have an effect 

ok, last summer going to silverstone I tried exactly this. Bearing in mind the 50 mph section of the M1. sport button OFF going up there, I managed 44mpg. As someone else said, keeping with flow, foot off gas going down hill, drive like elfin miss daisy 

coming back, sport ON, driving at a good pace, bursts of FUN! I managed 37mpg.

I only use normally unleaded, although SHELL does make Rory pop more. I always bought the car for fun and at the same time fuel savings. Over the 18mths of having him, I have averaged £26 a week on fuel.