I have had two Rockets....
 
On my 05 Classic I averaged 32mpg. That was cruising 80mph on the eways and with some city and backroad driving. I keep the tires relatively hard and 
weigh in at 280. I had a sport screen and bags on the bike. 
 
.....Weight Watchers will increase your mileage..........
 
  
On my 08 Rocket 3 Touring, I get 30mpg. Riding style and cruising speeds are the same but I now have a taller windscreen. I may ride backroad twisties a little slower due to the extra weight of the bike. It turns quicker then the 05 but... you can really feel the extra weight and (I think) longer wheelbase.
 
I have tried to reduce speed to see how mileage might increase but.... that is so darned hard! 
 
 
I too have wondered how folks get into high 30's or even 40's with their Rockets. I can only think they are either riding rather slowly or going downhill with a tailwind, or maybe all of the above! 
 
 
30mpg does seem to be the average for most R3 owners.