I feel (without a lot of data to back it up) that the pulley, belt, bearings, and such of the alternator always put a noticeable load on the engine. In fact, I believe that makes up a substantial part of the ~10% MPG improvement that some people have seen by pulling their alternator belt all together. As a result, I don't think the electrical loads are going to make a huge impact on fuel economy.
The heater does take some electricity to run. Not only that, but it also cools off the coolant of the car a bit. (My dad's old car's cooling system was marginal, and on hot days he would have to run the heater to keep the car from overheating!!) A colder engine is a less efficient engine, up to a point. By running the heater, you will be cooling the engine slightly more than without running it.
Now, if your engine is fully warmed up and runing on the heater doesn't cause a noticeable drop in coolant temp, then the energy lost to the "extra" heat needed by the coolant is negligible. But running the heater during warm-up will make the warm-up phase last longer, which burns noticeably more fuel.
Not all consumption is related to work being done by the engine...
-soD