This is largely an artifact of Diesel engines. With no throttle plate. the intake manifold runs at close to atmospheric pressure (not 29 inches of vacuum like a gas engine) so the engine needs to do very little work on the intake stroke. The oil, hydraulic, and water pumps and alternator do create a small load. As a result, very little fuel is needed until there is an external load on the engine so the engine heats slowly. I think the conventional wisdom is to let the engine idle until the oil is circulating throughout (maybe a minute or two, depending on the temp and oil type) and then just use it at modest loads (like driving) until the temp begins to rise. Idling at high RPM is not a good way to warm a Diesel.
Exactly what I do.