My summer mileage is about 43mpg (US), while the winter brings in 38mpg (US). I drive 50 miles straight on the hi-way (70-75mph), therefore I get the engine good and warm for most of the trip. I do know that the cold fuel/cold air/cooler engine temps (due to the heater) effect the efficiency of the combustion.
The TDI should actually provide less mileage loss in the winter compared to the non-ECU engines. The ECU should advance the timing a little to compensate for the cooler temps. The ECU isn't going to inject more fuel due to the cooler air, but you the driver is going to require more fuel to provide more heat in the combustion to provide more power to pump the colder/thicker oil(s) and to over-come the cooler temps. Remember your diesel isn't like a gasser, since it doesn't need a richer mixture to burn correctly. It will need more fuel to burn hotter and provide the energy you need to run the same speeds/distance.
On the IDI engines, some people take and make the air box breathe warm air from the back of the engine bay to help in warm up.