It does use a good bit more gas when the engine is cold, as it has to dump a lot more into the engine to compensate for it not vaporizing as readily. You've probably noticed that the exhaust smells like raw gas when you first start a cold engine. Once it's warm though, it doesn't take much gas.
I'd suggest shutting the car off if you're waiting more than 5 minutes or so and aren't in a situation where you might have to make a quick move (stopped in traffic with more coming up behind for instance). But any less than that and you're not really saving anything in gas, but putting more wear on your ignition switch/relay and starter.
Also I found something interesting with my 88 T-Bird, which probably applies to any manual transmission car w/ electronic fuel injection. A lot of people I know shift into neutral when coasting to save gas. This is actually counterproductive. When I'd go downhill at highway speeds in gear, its gas mileage readout would climb into the 200's and then show "----" (infinite, basically). If I'd shift into neutral and coast, it would show 60 mpg or so.
I later found that this is because if you're coasting in gear and the engine is turning over 1900 rpm, it shuts off the fuel injectors to save gas. Shifting into neutral means the engine has to idle itself rather than having the wheels turn it, so it then it has to turn the injectors back on. Chances are it's best to leave it in 5th when you're coasting!
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