It does help, anything that lets a motor breathe better is help. But the real question is can you feel the difference? And the answer to that is NO.
A cold air intake is a great mod, and looks cool under the hood, but you get about 3 HP gain, as far as mileage is concerned, nothing measureable.
So dont waste your money on a big fancy intake system for a 4.0L and expect it to, set you in the seat like a sports car, besides the fact that the 1st time you blast through a water hole that cold air intake will soak up water like a sponge.