If you're concerned about rotating weight costing more energy than dead weight, that is actually a myth. However, using the logic that's usually provided to back it up, the weight you should worry about is those big tires, not the wheels -- after all, the tires are further from the hub than the wheel and require more force to spin up (of course, they also retain more inertia).
I doubt that reducing weight in your wheel/tire combination will help, but using smaller tires could. Most people lose lots of FE when they put on bigger tires (even after adjusting or compensating for odometer error), and I believe it's from rolling resistance inherent in the type of tires usually sold at that size, not the size itself. Also, larger tires cause more aerodynamic drag, in the tires themselves as well as the taller vehicle (in some cases).
You could probably improve simply by going to stock tire sizes in a highway-style tire, maybe one that can take higher pressure. I'd suggest saving the money on wheels, they won't pay for themselves.
The easiest way to limit yourself to high-pressure-friendly tires is to look for LT-series tires in Load Range D (65 PSI) or E (80 PSI). You won't find many P-metrics rated for high pressure. I really have no clue if the heavier, thicker LT-series tire has so much more rolling resistance that it negates the high pressure advantage; however, Jay reports significantly increase coasting distance after switching to Load Range E tires and pumping them up.
Jay did the research on models likely to have lower rolling resistance and long wear (which is probably more cost-efficient than looking for low rolling resistance while sacrificing treadwear). Hopefully he'll post in this thread...or just search for his thread on tires.
As for size, how is the gearing on your Jeep? How many RPM do you cruise at on the highway? Does it seem to have unnecessary extra power while accelerating or is it struggling? How about speedometer/odometer adjustment...did you adjust them for the big tires you put on or are they still adjusted for stock size? If you can get accurate readings by going to stock size, that would be my recommendation.
It's a jeep. Think about maybe soft 8's for rims and a set of BFG A/T's for tires. Anything more aggressive will hurt gas mileage more. You can get them in 31's and they will give you better gas mileage than the 33's and not look funny. (I am guessing you are lifted cause you can't get 33" tires on an unlifted TJ without rubbing) They are an LT Tire and you can pump them up on the road and air them down for off road. I have run them and they last and last for highway and moderate off road use if you take care of them. Also, you didn't say what motor or gearing you have. I will guess the 4.0L which has gobs of low end torque and will run forever and ever. I would guess the best you could hope for is 20 highway with the top on. But it is more fun to run topless for sure. But jeeps are just so much fun and will take you anywhere and get you back. Course, you could always get a set of Moab's to mount the tires on.
Yes, I did a lot of research on tires... Michelin seems to have the best combination of low rolling resistance and long treadwear in their D & E rated LT truck tires. The tires that were on my truck were low on tread. I only had just under 45,000 miles on them. I could have made them go a little longer, but I was feeling uneasy as the truck easily hydroplaned in wet weather. My brother in law manages the Quicklane service @ a local Ford dealer. I got a very good price on the tires, but they were still expensive. The tires I chose have a retail price of ~ $250/ea. They are still a pretty good deal as you can haul more in the truck, and according to the research I've done it is not uncommon for these tires to go 100,000 miles on a pickup truck.
I have them pumped up to 70 PSI (max 80). The ride is harder than what I'm accostomed to, the truck doesn't ride like a Cadillac anymore but its not terribly bad. I could let some more air out of the tires but I'm still trying to get a good baseline mileage recorded before the winter fuel starts coming out of the pumps.
I notice now that on the slightest downgrades on neighborhood streets I can coast @ 25 MPH for over 1/2 mile now. Previously I could only coast the same stretch a few hunderd yards before I had to put it in gear again because I lost speed. I haven't noticed anything all that different @ highway speeds, but then again I rarely get to go that fast so I don't have much to go on. I do notice that getting behind a truck doesn't give me the same mileage boost (as reported by my Scangauge) that it used to before the aero mods and tires. I guess drafting works best on unmodded vehicles. I find now that if I try to stay behind a truck my instant MPG goes down, not up. I'm still planning a road trip to visit family in Florida before the end of the year. I'll have pleanty of time to road test P&G and drafting on the highway.
Finally, I have set of those Bushwacker Fender Flares on the Jeep TJ. They came with them when I bought it, but with smaller tires I will need to remove them to help the looks. I found them on trailquest.comfor $136
The top tire is the same model I bought for my truck. The E stands for the load rating, or how much weight it is capable of carrying. What hypermilers like about the E's is that you can inflate them to higher pressures and reduce your rolling resistance. I don't know if putting E's on a short wheelbase vehicle such as a Jeep would make the ride too harsh. Maybe D's in this particular application would be better? What do you think HC?
Putting that aside, the LTX A/S is the "all season" tire. Its pretty much a straight highway tread and will give the smoothest and quietest ride. The LTX M/S "mud & snow" and LTX A/T "all terrain" are more agressive treads and will do better in mud, snow, and off road. They will have more road noise and probably ride harder than the A/S tire.
As mentioned earlier my brother in law has E rated tires on his jacked up 4wd Ford Ranger and the ride isn't too bad, but then again jacked up trucks generally don't ride well to begin with. I also think an extended cab ranger has a longer wheelbase than a Jeep, which may be evening out the ride some as well.
Anyway, I've probably bored a bunch of people to tears by now. If there is somehow some aspect of your question that I've forgotten to address, or you need more info just ask.
I'd suggest still going with E-rated tires; you don't HAVE to pump them up to 80 psi just because that's their max. I have the same doubts about ride quality in the Jeep, although Wranglers are known for riding terribly anyway.
The M+S rated tires with that more aggressive tread definitely have more rolling resistance than the "A/S" highway tread tires. However, you might want to consider how you're going to use them and how much image means to you, since the highway tires look pretty lame.