Yes, I have found that whenever it gets cold, fuel mileage goes down. I attribute this to the car having to adjust its air/fuel mixture to deal with the cold ambient air temps, as well as increased warm up times; the car will run a lot richer when it is cold (anyone remember a manual choke?). Of course idling to warm up the car does nothing to save fuel either.
The upside to this cold air is that the Cooper S owners enjoy increased performance due to all that nice cold charge air going into the supercharger / turbo, and and also having nice cold air flowing across the intercooler.