Well, you're not alone. I put in a new engine with some Engnbldr stuff and my engine isn't running like a top. It's not in the ~12 MPG range, though. I'm working through issues and I seem to figure out a little more each time.
First thing is to check your valve lash adjustments. The engine is breaking in and they are probably not set right. I had mine at 0.008 and 0.012 to start and after the initial 15 minute break-in none of them were anything close to that. I've done mine a couple of times since and they are holding better now, but in the first few hundred miles you probably need to check the valves a couple of times. I'm also trying to find the right clearance for my Engnbldr cam, so there's some experimentation going on in my case.
With the valves set, check your compression. It's possible that the rings just haven't completely set yet. Mine is still a little low at about 5,000 miles, so it takes some time it seems for the 22R block to fully seat. Makes sense when you think that the engine wears slowly and it might not break in really fast, either. I've heard of people with new engines saying that their mileage increased over a period of 20,000 miles, but I've never really had a brand new Toyota engine before to compare it again.
Next I've found that several of the sensors that I didn't check or replace are unhappy. My EGR valve was sticking, my ECT sensor is off, the O2 I think might be going (this I think was from my break-in and all that crap that was burning off at first has fouled it). I'm also planning to replace a couple of other senders. Basically here you just need to run through the manual troubleshooting steps and make sure the key sensors are working right. That's the air flow meter, throttle position sensor, engine coolant temp, O2, EGR vacuum switch, aux air valve (this is the EFI equivalent of the choke). There's not really a whole lot on a 22R-E, so it's easy to troubleshoot. But one sensor being off or broken will throw the computer into fail safe mode.
Vacuum lines. Not much else to say, but a vacuum leak is certainly possible. I figured out my EGR system was acting up when I was tracing down all the vacuum lines.
Also when you talk about the thermostat sticking, are you sure? You might have a bubble of air in the cooling system. But it's possible that the t-stat is bad. Did you replace that or reuse the old one? In any case, if you believe the gauge, getting hot spots is bad for the engine and running cold will ruin your mileage. It's hard to stress how important having the engine run at the right temp is for the EFI ECU. If the engine coolant is not at the right temp, the computer could be running rich, thinking that the engine is still warming up, for example.
Something that was hard for me to get over is how much crap came out of the engine after the first start, metal shavings and stuff. It's possible that you have debris stuck in the thermostat is what I'm saying. I did my initial start on pure water in the cooling system and plain Castrol in the crankcase, ran for 15 minutes and drained both. I refilled with regular Castrol and the 50/50 coolant mix. But the cooling water has junk in it just like the oil. So maybe flushing the cooling system would be a good idea? Also check the level of coolant, I replaced all the coolant hoses and one of the hose clamps leaked and mine got low. Just forgot to recheck them, something I'm usually pretty good about when I out on new hoses.
Good luck and keep after it. It's taken me a few months but my engine is running pretty decent. Still a few more things to do, but I can't complain. The problem for me is that I didn't replace everything, I reused most of the outside stuff that was 200,000 miles old. So with the long block running well, I'm finding the stuff that my old engine with the worn rings, cam and valves was masking.