There are limits to when a 15W-40, 10W-40, etc should be used. This has to do with the MRV (Mini Rotary Viscometer) and MRV BPT (Borderline Pumping Temp) test values.
The absolute MRV limit is set at 60,000 cP: approaching or beyond this "yield stress" the oil can no longer flow into the oil inlet.
I don't have data for the oil you're using, but I do have the Esso recommendations:
Their 15W-40 oils generally have a Yield Stress at around -30 C / -22 F, though Esso also recommends they not be used colder than -20 C / -4 F in most motors.
The Esso HDX Plus 10W-40 and Esso Protec Extra 10W-40 is MRV BPT at -28 C / -18 F.
Remember also that different motors have different reactions to higher MRV values. Some motors may be fine right up to the Yield Stress. Others may require an MRV value quite a bit lower to avoid low oil pressure and noises.
All other things being equal, generally a heavier-grade oil, say 10W-40 or 15W-40 or 20W-50, will reduce oil consumption compared to especially a regular 5W-30. Their base stocks have less volitility than a regular 5W-30, hence less oil consumption.
Since synthetics have less volitility, they also have lower oil consumption. If you're really worried, and want better cold temp operation, use Mobil 1 15W-50.
Jerry