Higher efficiency will give you an increased OG, but that's not the only thing. So will a batch size smaller than the recipe called for, so if the recipe calls for a 5.5g batch, and you make 5g, you will get ~10% higher gravity.
Another thing that is very likely to give you a small error is an inaccurate hydrometer. Test it in some water at the calibration temperature. It should read 1.000. If it reads 0.996, just add 0.004 to all readings. If it reads 1.002, just subtract 0.002 from all readings.
A higher mash temperature should not increase the OG, but will probably increase the FG.
I wouldn't necessarily say that higher efficiency is always good. I can increase my efficiency with low gravity ales by over-sparging, but the beer suffers as a consequence. Predictable efficiency is very good. If you know you always get 80%, you can adjust the grain bills and save a few cents on each brew.
-a.