Oil Upgrade Recommendations?

Engine Oil
What’s up guys, I recently bought an 03 Protege5. Have been runnning the standard 10-30 mobile one oil, it’s been burning it fairly quick but there are no signs of leaks or any smoke coming out of my exhaust, should I upgrade from 10-30 to 5-40? Or are there any other good oil weights to use?
 
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02 Protege LX, 03 P5 (x2), 09 Miata, 07 Mazda3, 13 Fit, 09 Ody
I run 5w40 when temps are below 32F.
10w40 when temps above 32F.
Full Synthetic - high mileage (if I can find it).

All 3 of my protege's burn oil. The above helps, but still burn oil.
Keep extra oil in the trunk and check every time you get gas.