Mine goes down about 1-2 mpg in the winter when not using 4wd. I attribute part of it idling about 10min in the morning and the rest to the winter blend gas.

 

Well lets think about it, engines are designed to run at an operating temp. When its cold outside, your computer is telling your truck to run richer to warm up faster. If you let your vehicle warm up for a few minutes and reaches operating temp you will probably be getting almost the same MPG. Now, if you jump in the same vehicle start it up and go. You will be getting horrible mileage b/c first off the engine is less efficient when not at operating temp and you will be putting a load on it. Let you vehicle warm up for a few minutes. You will get better mileage in the long run.

 

the 5.9L burns about 0.6 gallons per hour idling.

if you use an engine block heater you can lessen the time it takes for the truck to reach closed loop.

I also believe the O2 sensors have heaters in them to get them up to operating temp quicker. You could probably turn the key to full on without turning the engine over and heat up the O2 in 8 minutes or so and not burn as much gas either.