In general, it's probably a safe bet that they do. Compare the heat capacity of a couple layers of waxed paper to few mm of some commonly used plastics (PET, HDPE, etc.) [I'm not claiming that the mug is necessarily made of X material, but it's not hard to do much better than a super-thin sheet of paper...nevermind the lid. Heck, much of your savings is coming there, after all...