In a nutshell, this is how multigrade numbering works. I will use 10w-40 as the example. The first number is the oil viscosity measured at zero degrees fahrenheit. This is indicated by the letter "W", which means winter, not weight. The second number represents the viscosity of the same oil measured at 210 degrees fahrenheit.
When the engine is cold in the morning, the oil will exhibit the characteristics of a 10w oil, and as the engine warms up, the oil will flow as a 40 weight oil. This doesn't mean the oil gets "thicker", it means it doesn't continue to get less viscous than the 10w at zero fahrenheit.
For the bolt engine in a cold climate, the perfect oil would be a 30w-30..ever seen that on the shelf? A 20w-40 would allow the 20 weight to provide fast oiling/protection as the rig started up on that cold Virginia morning, and as it warmed up running down the road, it's viscosity would that of a 30 weight...perfect.
The science of this lies in what the oil is compounded with, and the fact that this compounded oil is measured at two different temps and given viscosity numbers associated with those temps.
The bottom line is to use what you feel works best and the heck with science! Multigrade oils were developed to achieve higher fuel economy and to promote less friction and better oiling for the tighter clearances encountered in the modern engine.
Stuart