To be really concise.... or may be sad..
1; Diesel fuel has more energy per litre than petrol (this is where most of the extra mpg comes from)
2; Diesel engines run at about the same temperature as petrols, but thet use the fuel more efficiently ie more of the energy in the fuel is converted in to motion and less in to heat (this is where the rest of the extra mpg comes from)
3; diesel engines are made heavier and strong than petrol engine to cope with the extra loads caused by the massive compression ratios
This means as a diesel is warming up there is less waste heat being dumped in to the cooling water and there is more metal to warm up as well.
This means my feet are cold but my wallet is a bit fuller
