thought this thread would have died off long ago!
At WOT, air spends .00005 seconds passing through the throttle body. Any heating affect is going to be so inconsequential there isn't a dyno in the world that will be able to detect it. So yes, it is costing you power, like .0005 hp. (all numbers are completely made up)
But on the other side of the coin, doing this 'mod' WILL cost you mileage. Cold air is good for power when you are at WOT, but cold air costs you mileage when you aren't at WOT. Search around the hypermiler forums, they do hot air intakes! For normal city driving where you are doing a fair amount of idling, not having the heated air will cause more fuel to be dumped in, plain and simple. (numerous factors cause that, i'd suspect the poor atomization of the fuel is the leading one.) My own testing as well as many others supports this, when you do this mod your mileage will suffer.
As someone previously mentioned, you would get more of a power boost by removing your floormats. Of course, that would also increase your mileage. In the case of this mod, you get zero measurable increase in power, but will absolutely be able to document your mileage drop if you keep accurate records. (also depending on your driving, more stop and go and this would have a larger impact.)