I've had one on my sled for a couple years now. I re-jetted for -20 F like the instructions said (I think it was 1 or 2 sizes bigger than stock on the main jet, I left everything else alone, cause it's usually really rich at idle anyways), and like above, you do need to take it easy for the first 1/2 mile or so after you stop, but you should do that regardless if you have a tempaflow or not.
Reason is that it'll compensate for the warmer underhood temperatures and lean it up quite a bit. Then get a rush of COLD air and not have enough time to re-adjust. I have a friend that has a tempaflow on his sled, and he doesn't follow the instructions at all, and he's never had a problem. Although it's not like we ride when it's very cold anyways.
The BIGGEST improvement I noticed with it is my sled runs awesome at any temperature. It used to only run "great" when it was really, really cold out. I noticed no improvement in mileage when it's cold out, but when it's warm, and friend's are fouling plugs, and really going through the gas, there was a big improvement.
For the $150 or so it cost me to buy the tempaflow, I've easily saved that in gas alone over the past 2 years. Especially now when it's around $3/gallon.