The Prius will definitely drop fuel economy if you alter the oil grade from 0w-20 to 5w-30, however, it will not affect the engine. The 2ZR engine is specifically designed for 0w-20 oil which is extremely thin and super efficient, so pay no heed to the people who claim that it will somehow 'ruin' your engine in our weather.
The only 0w-20 engine oil available in the market is a little known Korean brand called S-oil. Use the 4l box and empty the whole box. The engine takes about 4.2l but overfilling on this engine is disastrous, and slightly underfilling is the best way to go without harming the engine. However, this oil is very new, requiring you as the owner to be very diligent. Hence, you must pay attention to the dipstick to see signs of discoloration weekly, and make decisions accordingly.
As for the picture above posted by @capsat, that manual is for the 2nd gen Prius up till 2009. 2010 onwards, the engine completely changed.