Yeah, bigger rims will give you worse MPG, obviously more so the bigger they are. Not a huge difference though, I'd say maybe 1 or 2 MPG.

I put 18"s on my car this summer, and sometimes I still think they look just a little too small. 19"s though and I'd be too worried about damaging them with some of the surfaces I have to drive on.

I would definately say go for the 18". If you're even considering them and you like the look of big wheels there's a good chance you'll wish your 17"s were just a little bigger.