When my eldest DS started lying we tried taking his favourite toy away (was a 7 years but did have an effect for a while). We also started not believing whatever he said so constantly checked what he said, especially with other people, to embarrass and annoy him that he wasn't being trusted (this comes back every so often for a week til it kicks in again). Another thing we did once (when lying about what Nanny said) was tell him it had caused a big argument, Nanny was really upset, etc. Kept it going long enough for him to get very quiet and a bit tearful (aged 10). Oh and made him apologise to Nanny (who thinks the sun shines out of him) to make him realise it isn't just within 'the four walls' that it has an effect. He's now 11 and very rarely lies (and now his pocket money is halved). Hope that's helped, I know she is younger but I'm a firm believer that stamping out these 'moments' quickly makes life easier! Good luck!
Do you think she understands real drama as in could you 'over dramatise' the situation to make her think 'oh shit'? If you and her Dad have a good enough relationship I'd make sure she knows you talk a lot (drop it into conversation) so that she knows lying won't work.
We found taking the same thing away (in our case his cd player so he didn't have music when getting ready in the morning) helped. There were days when we decided that didn't work and took other things too, there were days when we said 'you don't deserve nice things if you don't behave nicely' but; he is absolutely lovely now and I think being nasty Mummy worked (even though it made me feel baaaaaaaaaaaad at the time)!
Try to explain that what happens at their house isn't what happens at Mummy's. I know it feels desperate but that does end. Although not quite the same situation, my DS is actually my DSS and before DH and I got married they had been living with my IL's. MIL very much tried to undermine ('but we have a real fire here', 'isn't Mummy being mean telling you off for breaking that with your ball', etc, etc) but it has worn off-4 years on he tells me Nanny is nuts and regularly tells me he's glad I rescued him. I also understand guilt as DS's Mum died so I feel when it goes wrong I'm ruining someone elses child but actually he really does respect me (and love me) for being firm with him.
Consequences do work, even when it is 'you do this, I take it away'. Sticking at it is a killer but it does pay off in the end. Wouldn't have told you this a couple of years ago though and hope it will work with DS2 and DS3!
My 5y/o twins are convinced that daddy has a magic pen that will write the name of the person telling the lies. I think next door neighbour said she had one. We just ran with the idea and it works so far. I normally say 'I need to know who has doen this as its unsafe/your teacher would be sad if you stiched up your brother blah blah' It is different for me as my twins blame each other.