Chromoly is not necessarily much lighter, but it IS stronger, so you can use tubes with less wall thickness and save weight but retain the same strength. A caveat: most racing organizations (SCCA, NHRA, NASA, etc. require that chromoly is welded with TIG, not MIG. Also, chromoly becomes very brittle in the weld zone unless it is normalized correctly (mega-mega-$$$). Stick with mild-steel because it's FAR easier to build with and will BEND in the event of an impact instead of BREAKING as un-normalized chromoly would. In a simple 12-point cage, chromoly would probably only deliver a 40-60 lb. weight savings anyway –not really worth the extra cost and headache anyway.
