Never run the 5 weight oil. Its the fastest way to kill your engine. 5-20 is only put in to get a slight increase in MPG.
I'm not sure where you heard that a "5" weight oil will "kill your engine." Did you mean to say "50" weight?
I would agree that using a 50 weight oil is probably too heavy for most applications.
You are correct that Ford switched from the 30 weight spec to the 20 weight oil strictly for CAFE (ie - fuel economy) purposes.
For the original poster (a little more info):
There are a small number of applications (perhaps 24 hour Lemans roadrace type action?) where a relatively "thick" 40 weight or 50 weight oil could be favorable. But, for the vast majority of folks out there, a quality 20 weight or 30 weight will do the job just fine for normal street/strip purposes. IMHO, running a 40, 50, or 60 weight engine oil is "too thick" and could possibly contribute to engine problems.
As Uncle Meat pointed out, the "W" designator in "0w-xx, 5w-xx, or 10w-xx" oils simply denotes that the oil is a multigrade oil. And yes, the "w" stands for "winter."
Think of it like this, a 0W-20 will "flow" better at
cold tempeartures than a 5w-20 oil and the 5w-20 oil will flow better than a 10w-20 weight oil.
The same logic can be applied to 30 weight, 40 weight, or 50 weight oils.
ie - 0w-30 pours easier than 5w-30 and 5w-30 pours easier than 10w-30 at
COLD temperatures.
If you live in a cool/cold climate, it's pretty common to run a 5w-xx or even a 0w-xx weight oil nowadays.
For a more in-depth explanation of how multigrade oils are classified, Google for some more information or read this quick explanation over on Wiki:
Motor oil - Wikipedia, the free encyclopedia
Now that you know what kind of oil to select, you have to decide what brand you want to choose!
Again, it's more important to keep a close eye on the oil level on a semi-regular basis in order to avoid running your engine low on oil. Iit's happened to more than one cobra owner in the past and has resulted in destroyed engine bearings and a rebuild.
G'luck.