Your car's engine IS less efficient in the winter because there is more heat transfer to the air. At very low temps, your mileage will be very noticeably affected. Warming up also kills fuel economy, especially if you use the car for very short trips.
Also, you should know that the accuracy of the gas pumps is not very good. You are being shorted as much as 5% due to the way that fuel is metered. Yes, much, much more acccurate flow meters are available, but it would cost the oil industry a ton of money to purchase them, then they would lose money because they wouldn't be able to short their customer a few % anymore. So, calculating mileage using the volume the pump reads is going to be slightly pessimistic.
