Ford intentionally did this. The reason for this is that the fuel pump is in the tank, and is cooled by said fuel in the tank. If you let the tank get too empty, the fuel pump will heat up and get really hot... if you let it do that enough times, it will fail very prematurely. Ford has set the light on the SHO to go on with about 4-5 gallons still in the tank. If I fill up right when the light goes on, I use about 13 gallons. I have let it run 'til it don't run no more, and when I did, I used 18.5 gallons, both times.
So you have two options. You can do as FoMoFoCo intended, and keep your fuel pump happy by filling up when the gas light comes on. Or just let that serve as your "5 gallon warning' and go from there. In the city, you will normally have about 80 miles left for an ATX, and about 90-100 for an MTX. Plus, winter's coming - I don't think heat's gonna be an issue for a lot of our fuel pumps for a while.
One final note... an empty tank allows condensation to form. Condensation will rust out your tank, and can get absorbed into the fuel, causing all sorts of problems. Just FYI...