Diesel engines are quite a bit different from the petrol engines for several reasons. One of the most important differences is that diesel is a very slow burning fuel compared to petrol. In most diesel engines, and especially the direct injection ones diesel continues to be injected into the combustion chamber even during the down stroke of the piston long after ignition has occurred. Because diesel burns so much slower compared to petrol engines, achieving higher efficiency from the burn cycle is VERY important.
It is possible to modify and tune the engine in order to achieve more power and torque and at the same time achieve higher fuel economy. It all boils down to how efficient can you make the diesel engine.
One of the most important mods for a turbo diesel is the intercooler. The bigger the intercooler, the cooler and denser the intake charge will be. Denser charge means more oxygen per unit volume which in turn creates a more efficient burn inside of the combustion chamber.
Do not be scared to modify your 335d. Chances are you will turn it into a torque monster and improve or at least maintain the current fuel economy!