In case you guys care:
Running the heater involves circulating hot water from the engine. It is passed through a small "radiator", like the one under the hood. The higher the heat setting on your controls, the more of the air that is passed through the fins of this radiator into the interior of your car. So theoretically, it can help in cooling the engine as well, but not by much.
Running the A/C involves a similar system, but the air passes through fins cooled by charged freon instead of hot engine water. To get this freon that cold, it is run by a compressor, that is turned by a belt in the engine. This is where the power is robbed, when the engine must work to turn this compressor. When the A/C is not in use, the belt simply spins the pulley, with no really noticable power loss, but when you turn on the A/C, it connects that pulley to the compressor, and takes power to run it.
In other words, a really long boring explanation of why A/C robs engine power and heat doesn't.