Terrible city mileage then great highway mileage?

You don't have to guess at it - pull the diagnostic codes. They'll tell you what the problem is. WalMart sells the scanners for about $25 or the guys at AutoZone will usually pull them for free.

The O2 sensors are used all the time - city and highway, just as soon as the sensors warm up enough (around 500F) to begin to operate properly. Once they're warm (that can take anywhere from 30 seconds to 2 minutes or so), the system goes into what's called 'closed loop' and begins using data from the sensors to adjust injector pulse width for the best compromise on drivability, mileage and emissions control. The system will drop out of closed loop back into open loop when you go full throttle. So the O2's aren't used then. The operating range you're asking the engine to perform in while in stop and go driving is much broader than when you're on the highway - perhaps that's why the light is showing up in one area and not the other. It's probably the O2's - but don't guess. Pull the codes.

It's the O2's. When I installed my longtubes I left the O2's out. Same thing, around town the CE light comes on. When going down the highway, nothing, not even for 1 hour + drives. Within minutes of getting into town the CE light will come on. But, like Michael says, pull the codes to make sure, but I'd bet money on the O2's.

Dump the codes and see what the computer says is wrong…

Here's the link to dump the computer codes with only a jumper wire or paper clip and the check engine light, or test light or voltmeter. I’ve used it for years, and it works great.

See http://www.troublecodes.net/Ford/
OR
See http://www.dalidesign.com/hbook/eectest.html for more descriptive help
OR
See http://www.mustangworks.com/articles/electronics/eec-iv_codes.html