Hmm, mine doesn't burn much oil even when I push it to >4000rpm. But like you said, you'll have to rev it high so when you shift into the next gear, you'll be turning enough rpm's to get it into the powerband. I loose between 1000-1500rpm's between shifts.
Considering the engine is turning twice as fast as you would normally be going and making a LOT more heat, it's normal for it to burn more oil.