Honestly, I haven't had to prove it yet, it just makes sense based on what you described (only 2 real places pressure can leakdown from - regulator/check valve or out the injectors). My guess for proving which cylinder might be to let the car sit long enough (overnight?), and pull each spark plug to check for which one(s) are wet with fuel and if you can get a fiber optic light in the spark plug hole, maybe you can see wetness in one that you don't see in the others. It might need to be cranked first to get the fuel more into the cylinder, so disconnecting the DIS and cranking for only a second or two might do the trick. Short of pulling each injector to get them tested, I don't know how else I'd go about proving it. Try it the first way and then try the second if the first shows you nothing.
Perhaps even a top-end cleaner or FI cleaner may help, if it's just dirt lodged in there. Easy stuff first, as usual.
Anyone got a better idea on pinpointing? Perhaps the Helms has a procedure, but I can't look right now.
I wouldn't think this would have a huge impact on mileage unless the injector is really screwed up, but I'd think you would see rough running then. In which case the KOER test may show you something.