Well, I suppose it might also have to do with how many variables you are using in the first place. If you use more than what will fit in BANK 0, then you'll never see a difference in code size.
If your program is really short, try forcing all the variables to BANK 0, then try forcing them all to BANK 3 (or another BANK). You should see a difference.
Again, if you read the memory organization section of the datasheet and compare that to how different areas of ram and code space are accessed, you'll see what I mean.
By the way, none of this code space stuff works with the 18F series of PICs. Practically everything can be addressed with one instruction on those.
JDG