Primarily through direct injection, would be my guess. But that 4.2L direct-injected V8 has been causing reliability problems for Audi owners, I believe.
Also, I don't believe fuel consumption should be a consideration when buying an M car. If you're worried about economy, there are other cars that will suit your needs better.
'09 E92 M3: Space Gray, Black, Carbon Leather | ZTP 2MK ZPP 2MT 6FL | link 1 / link 2
Mods: M Performance exhaust | ZCP retrofit | Euro airbox | GTS DCT flash | JPN 240 ECU flash | Euro LCI taillights | CRT lip | OEM alarm retrofit | Space Gray bumper plugs | BMW Performance: Mk. II spoiler / Mk. II non-electronic steering wheel / mirror caps / front grilles / side gills / intake louvers / emblem