Not in your head at all. The colder the air, the denser and more rich in oxygen. Since a motor always tries to keep at fuel to air mixture no higher than 14:1 the more dense the air, the more fuel required to run it. So yes, it uses more fuel but the nice side effect is that you actually get more power.

So far the only cold weather related issues I have noticed is a noisier power steering pump. Especially when turning right.
Also a few more creaks/groans from the plastics in the interior.

--Bill