If you just got the X5, it has to get used to your driving habits. It learns. What the person was saying about winter effects is true too. Comparing the 335D to the X5D mileage is more different than just weight although that is a dominant factor. The gear ratio of a SUV is always set to pull more of a load and thus runs a higher RPM for a given vehicle speed. The all wheel drive aspect also kills mileage but I'm sure you love having that in chicago for winters.
My 335D is only running at 21.5 mpg running around my locale. I normally only drive surface streets with max speeds of 45 mph and lots of traffic lights. When out on the road and using cruise, i can acheive 39 to 40 mpg if AC is not being used. It is very speed sensitive though. If i go 70, it is okay. From 75 and higher, mileage starts to drop into the mid 34-35 range. Another factor i have found is use of electrical systems causes a loss in mileage at least ones that use significant amperage. Electric butt warmers, rear window defogger, windshield wipers fall into this territory. I drove a stretch of highway on the way to New Orleans in strong rain showers and got around 32 mpg. Drove the same stretch 2 days later and got 39 mpg in clear weather at same speeds if not faster.