To the op's question it is always best on the engine to drive at moderate throttle immediately until the oil warms up then you can get more aggressive.
When hooked to a heavy trailer and it is very cold outside I am doubtful of my ability to get away with "moderate" throttle and let the engine warm a minute or two. All engines with modern emission control systems need to get the exhaust systems warmed up fairly quickly to avoid issues but diesels and their particular filters seem to be more vulnerable to issues than gas engines.