Cold weather effects fuel economy in many ways. I'm sure you probably know most of these, but for others sake:
1) Colder air is more dense. This means you must push your vehicle through a more dense fluid (gas / air is actually considered a fluid), this takes more power and thus more fuel. This also means you have the opposite effect as your warm air intake.
2) Warm up penalties. Your engine likes to operate at ~180F. If you have to start at 20F vs 80F and warm up to 180F, its going to take longer. That longer time is going to use more fuel as your engine runs rich to start at cold temps, and stay running at cold temps. This effect is pretty huge if you have a short commute. Block heaters help negate the warm up penalty to some degree.
3) Thicker fluid viscosities. Your engine oil is more viscous at lower temps (so it takes more power to spin/churn it). Your transmission fluid is more viscous at lower temps. Even your bearing grease is more viscous at lower temps. This all means your engine must output more power to maintain the same performance level as at warmer temperatures.
4) Idle warm up. If you idle your car to warm it up, you're obviously using more fuel than if you just jump in and drive. The old saying that warming it up before hand is 'good' for it is total bogus. With modern engines, you can jump in, let it idle for a few seconds (to allow for the oil system to pressurize), and drive way and the engine will warm up much faster than sitting there idling.
There are probably more, but that was what was off the top of my head.
As for your interwarmer, you'll definitely want it upstream of the temperature sensor. This specific example its certainly upstream of the temp sensor. The airbox and filter come before any sensors. Don't need them getting dirty ya'know.
Cool idea BTW about using an intercooler.
View my fuel log 2015 Mirage DE 1.2 manual: 41.7 mpg (US) ... 17.7 km/L ... 5.6 L/100 km ... 50.0 mpg (Imp)