^^ I don't think this is the valid explanation. I think it's simply that an engine (or furnace, or boiler, or kerosene heater, or oven, etc.) work most efficiently when they're hot. So the warm-up time is when our cars get crappy MPGs. Once they warm up, they're fairly efficient.
In the winter, it takes longer for the engine to warm up because the starting temp is lower, and because the air blowing into the engine is colder, so it takes longer for the engine to reach max efficiency. Add to that the winter blends of gas, and you take a double-whammy on your MPGs.