Bearcat,
I can't tell you for sure what is causing your problem, but I can suggest a place to look.
Your torque converter lock up is activated by a solenoid that is usually attached to the valve body in the transmission.
Solenoids, especially Ford starter solenoids, can be sensitive to temperature. I have never seen or heard of one doing what yours is doing, if it is.
Next, an automatic transmission is a series of hydrolic valves that open and close and apply pressure to the "bands", the "clutch packs", and the torque converter.
The pistons in these valves have rubber "O" rings that provide the seal. These "O" rings wear and allow fluid to get around them causing early shifts, late shifts, slipping, etc.
As the trans warms up the "O" rings expand with the temperature and the trans settles down to operate normally. This is another possibility.
Check with a local trans specialist and ask about a trans additive/conditioner. Or better yet, ask the forum members if they can recommend a super auto-trans conditioner.
I think Lucas makes a trans additive, and they have a very good reputation. This may or may not solve your problem, but it cannot hurt either.
Lastly, do I understand this right, you are driving a SHO, and are worried about MPG. I am sure a nice little cute Escourt would get you 30 to 35 MPG or more. But then, it's not a SHO.
When I drive my SHO I worry about MPH and RPM, not MPG. But that's me. The above is intended to be benign "tongue in cheek". Hope this helps, or at least gives you some ideas, rangerj