Having gotten the windows done just in time for the snowstorm last weekend, I'm happy to say they work wonders. The entire house felt warmer, and the chill that used to stay in the air (even with the heat at 70'f) is gone. The heat is turned down a bit and we're still more comfortable. In the evenings we sometimes use the fireplace for supplemental heat in the main area. It gets toasty warm and even the cat curls up to watch the fire dance.
I'm now planning on getting a window film for the patio window. It's too large for the shrink wrap. the film has the bonus of helping block heat gain in the summer, plus a smaller-but-still-there effect with keeping the heat inside in the summer. Since we are in the South and this is largest window in the house, blocking heat gain is a good thing. I just need to find out when it goes on (while it's warm out?) and what it's going to cost.
Gila Residential Film - this page lets you see what they look like as well.
3M Residential Film - they also have security films.
Both also have privacy film options.