There are a couple really good HVAC guys on the forum that may be able to chime in on this one - here are my thoughts...
First, having the furnace in the garage should not present an efficiency issue. The furnace heats recirculated air from the return ducts in your condo and does not intake air from the garage to push into the living area. If it did, that would violate a number of building codes...
The furnace will draw air from the garage in for combustion if it is a gas furnace, but the combustion air is not pumped into the residence. In modern HE furnaces, the exhaust from the combustion air is recirculated into the heating element and moisture is extracted for delivery to an outside vent.
I would NOT recommend insulating the furnace area door, as you may starve your furnace of combustion air which could cause a TON of problems.
Rather, I would suggest going to the hardware store and getting some of that aluminum tape. Use the tape to seal around the filter assembly where air may accidentally get sucked in, and seal any holes or vents in the return duct that are in the garage. You will need to remove the tape to change the filter, but its a very minor inconvenience. That should give you plenty of air sealing, and the combustion will help get some of the fumes out of the garage.
You could also look for an infrared (low spectrum) heater that can be hung on the ceiling and plugged into a 20A outlet. That will keep you nice and warm, even with the door open...
Far infrared heater example:
http://www.amazon.com/Optimus-H-9010...dp/B0041G69CM/