A cold air intake could improve fuel efficiency a little bit, but keeping a clean air filter will help just as much. The cold air intake will help more with drivability as the car will have fewer little "flat spots" where acceleration seems to sag just a touch, and the engine will be more responsive and have more power when it's hot.
Just going to a K&N air filter on my car gave a noticeable seat of the pants improvement in how the engine responds to throttle movement, and getting rid of the air silencers would supposedly make it rev even easier, but that's because GM used intake restrictions to help detune my engine from the power produced by the same engine when it's in the vette. I also noticed more intake noise which sounded like more air rushing in with less restriction. A louder but slightly deeper whoosh, if that makes any sense. I never did dyno my car but I swapped back and forth a couple of times with the filter and I could tell the difference in how the engine responded.
So yea I'd personally say a cold air intake is a good thing, but keeping the filter clean or using a free breathing type of filter can be just as important. Just don't spend too much on the cold air intake kit because you probably won't get it back in fuel mileage. Your engine already tunes itself based on air temperature and volume, so it'll just tune itself to account for the lower intake vacuum and cooler/denser air. That probably means more power and responsiveness, not more fuel efficiency.
