Aerodynamic drag increases with speed squared so, once that becomes the dominant factor in the equation, your fuel consumption increases with the square of the speed in order to overcome the drag.
However, at low speeds other factors take over. Rolling resistance and efficiency of engine and drivetrain start to become more important. Clearly the "slower is better" rule falls over when you have to change down a gear because the engine is now spinning faster with respect to your forward speed, and is therefore less efficient.
The 56 MPH speed for best consumption was always a myth, but a slightly self-fulfilling one in that 56 MPH was the speed at which the old style government figures for cruising MPG were measured, so, as a manufacturer, if you were going to tune your car for fuel consumption, you made sure it was good at 56.
Personally I think you'll get the best MPG at the lowest speed at which you can comfortably cruise in top gear, with the torque converter locked if an auto, without labouring the engine. Say about 2000 RPM in a V6 and maybe 2500 in a 4 pot. Pretty close to the mythical 56 MPH figure, then.
Kevin