I was originally told that the receptacles could provide an avenue for cold air to come inside the house.
You were told correctly.. It will be more of an issue in an older home with board sheathing and older siding (and no house wrap). If you insulate behind and all around, that will stop most air.
It can't hurt
to really tighten it up, but if you do use tape, like KC said, keep it out of the box, and use a long-lasting tape (NOT duct tape).
This brings up an interesting question -- the ideal tape to use would probably be foil tape (the "real" duct tape). But I wouldn't attach foil tape to a metal electrical box. If there's a fault and the box becomes hot, who knows what else may be connected? Maybe glue the poly to the outside of the box if you're intent on sealing it.. Dunno how you'd get in there tho..