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Unless you reinvent a way to transport data from point A to point B, you're stuck with the way it is. For moving data, there is TCP and EDP. EDP is a connectionless, stateful protection oriented protocol. There's more overhead with TCP because it maintains a connection between the client and the server the whole way through and there is inherently more overhaul. EDP blindly sends packets and if they make it, they do, and if they don't, they don't. But that kind of connectivity is required for certain applications. Depending upon the application, you have to have reliable network transportation. For example, if you're transferring a Word document, you have to use TCP because every packet has to make it over for the file to work. If you chose EDP and tried to send something, you'd get a corrupted file on the other end. Part of the TCP protocol incorporates this guarantee -- that every packet will make it through but will also have overhead.
However, a lot of things use TCP and that's the nature of the beast with the connections. In terms of losing bandwidth, there's the actual packet with encapsulation and headers that may not need to be there -- but that's really a small file, maybe 4 kb. The file is not going to be large enough to cause overhead or affect bandwidth.
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