Yup, I think it's pretty well established that cold surroundings cause your body to burn more calories to keep warm. I don't think you can completely compensate by dressing more warmly, and even then the extra clothing alone makes it a bit more of an effort to move. And there's only so much you can do to warm up cold air entering your lungs anyway. I'm not sure how much of it is automatic, and how much of it is simply the cold stimulating you to move more, though.