check engine light

My check engine light comes on when it cold 0 or below after about 5 miles it will go away after a few more miles. no codes when I check. Is it a bad temp sensor. If I drive hard I can make the light come on sooner, but only in real cold weather. Gas milage is way down but i've been in 4 wheel drive for most of the last two tank of gas.

I'm a little confused. Are you saying the check engine light goes out after the engine warms up? If so the most likely cause is your O2 sensor also warming up and beginning to report in to the ECU. A truly bad O2 sensor will drag down your mileage some, perhaps 2 or 3 mpg per tankful. Running in 4WD or even just having the front hubs dialed in will drop your mpg significantly.

I don't think you have an immediate worry, most engine light functions relate to emission controls and won't kill the car. Let's wait for warmer 2WD weather and see if the check engine light and low mpg problems persist.