When we had the 08 GMC Yukon XL Denali with the 6.2, using premium improved mileage and power, usually enough to more than pay for the extra cost.
Premium fuel on 2011 2500HD 6.0 does not seem to improve mileage or power much, so just run regular. We have run a few tanks of non ethanol and it was a wash, improved the mpgs, but cost more and is not convenient at all since stations are limited and not close.
Regarding changing the gears, I would expect $2000-3000 for 4WD.. might try towing with it to see if you can live with it or not. We don't tow enough right now to make the change, but if we start getting more days camping, we will have another look...