Cold air is denser increasing combustion efficiency
As already stated, cold air is denser allowing more oxygen molecules into the cylinders on each stroke. Modern electronic fuel injection systems are efficient with the use of mass air flow sensors (feed forward system) and o2 sensors (feedback system) to adjust the amount of fuel injected to burn as close to 100% of the oxygen in combustion chamber.
Hence the reason, more oxygen = more fuel = more powerful combustion. Sooo slight increase in power and decrease in efficiency.
Someone spoke about forced induction such as a turbo engine. This is more efficient because you can greatly undersize the engine for the weight of a vehicle, when you need the power to accelerate, the turbo spools up and compresses the air, increasing o2 and fuel and ultimate power, but at cruising speeds, the engine is running at atmospheric pressure.
On the original question, i agree, there is no effect on MPG after the engine is warm (except the slight increase in draw on the alternator to run the fan), cold engines are less efficient (increase blow by from pistons that have not experienced thermal expansion to properly fit the cylinders, thicker engine oil, ect) The motor has a thermostat that does not allow coolant to reach the radiator until the engine is warm, but when you turn the heat on before the engine is up to the appropriate running temp it is keeping the engine cold longer. So if you suffer through the cold until the engine is close warm, you will have no effect on MPG. This is a big deal if you mostly take short trips.
Since that has all be explained a few times, if you engine is ever overheating due to a potentially failed thermostat, turn your heat to full blast, even if it is hot outside, this will pull heat from the engine.