Efficiency is something that is designed into the utilization equipment, changing the voltage doesn't change the equipment design.
There is some "junk science" crap out on the internet from people saying that by running your voltage high all the time, you will "save energy" because they think that current goes down when the voltage goes up (and they mistakenly equate current with energy). This is all bunk, ignore it. If anything, you may actually WASTE more energy doing this as things like transformers and induction motors will just run hotter at the same load, and that heat represents wasted energy.
kwired's comment is valid, but not from just the standpoint of increasing efficiency, it helps avoid voltage DROPS under load, which could have many negative effects including a loss of efficiency on those same types of equipment mentioned above. So for example if you start at 480V at the service entrance with no load and that drops to 460V under full load, you might end up with only 430V by the time you get to the motor farthest away from the service, that motor is going to run very inefficiently. So if you start at 500V unloaded and it drops to 480V under full load, then that farthest motor may drop to only 450V, which is within it's design tolerance.