MSR has this heat exchanger that is a windscreen for canister stove plus it improves efficiency with this heat exchanger, but it weighs 6 ounces so will never save weight over-all.
I think maybe it was Dave Thomas that mentioned bending aluminum flashing back and forth, accordian style.
Voila – lighter weight version of MSR exchanger:

I made this with light aluminum flashing.
It's two pieces attached together because I didn't have a piece long enough.
I marked lines 1/2 inch apart and folded part way over a straight, sharp edge – piece of plywood. Then folded by hand to make completed shape.
#18 galvanized wire on the outside. Several holes through flashing that I put the wire through.
No channels where the handle is to keep it cool.
Adjusted wire length so there's some "spring" pressure of flashing against pot.
Nests into pot:

Weighs 0.9 ounce.
Compared to my old windscreen:

Old one weighs 0.66 ounce.
I brought water to almost boil. Weighed water. Weighed canister before and after. Took temperature before and after. Calculated oz of fuel to bring 1 pint of water 150 degree F increase of temperature. Repeated twice:
old windscreen = 0.236 oz/pint/150F
new windscreen = 0.189 oz/pint/150F = 15% better
I previously did this with bigger channels – 1 inch between folds, and it didn't make much difference.
So, I use 15% less fuel with new windscreen.
I typically go out for 4 nights. 1.2 ounce of fuel per day, so 4.8 ounces total required. With new windscreen I only need 4.06 ounces so I save 0.74 ounces but the windscreen weighs 0.24 ounces more so I save 0.5 ounces my first day of hiking – too small to make much difference.
On the other hand, for 4 nights I need 4.8 ounces of fuel with the old windscreen. This is too large for the small canisters so I have to take a big one – 13 ounces for canister and fuel to start. With the new windscreen I need 1.01 oz of fuel per day (which includes a bit extra just to be conservative) so I should be able to use a small canister which weighs 7 ounces so I just saved 6 ounces.
Or, if I use big canisters, with my old windscreen I usually used a little more than half a big canister so I need a new canister on every trip. With the new windscreen I should be able to get two 4 night trips per canister.

