Change the oil as soon as you drive it home.
Most dealerships will start those trucks up and let them idle for extended periods, especially in the winter months. They need to make sure that batteries are charged and that they will not have to explain a dead battery to a customer on a brand spanking new vehicle.
Although it might have next to no miles on the engine, chances are high that the engine already has several hours of use on it.
Your not going to seat the rings properly until 12-15k, at least. Just run a good quality 15/40, and then look into synthetics at around 20k. Even if it is a wives' tale, cummins specifies that IN THEIR BOOKS. If nothing else, don't create a warrently claim problem for yourself.
As mentioned before, you truck has an extra injector pulse in the cycle. It is not going to get 20mpg stock. There are certain modifications you can do to improve MPG, but your pretty much stuck where you are at.
I can't wait to see what the MPG reports are on the new 6.7 ISB that will be in our trucks next year.. Between the increased displacement and the emissions requirements, its going to be very interesting.. Interesting enough that I would consider making 06 my last new diesel truck purchase for a few years.