it depends on how cold it is or course, and how close you are to an onramp as suggested by another poster.
Ideally you will start with good oil. Fully synthetic is best, and I don't mean the typical 'charge through the teeth for barely better' group III oils. Also the lower the first number the better. A few of us on here are using 0W-30 synthetics and that is the way to go in the winter if it's cold where you live.
If you're concerned about 'cold start' wear/damage you'd probably do well to look into a low weight diesel oil, again 0W-30. Gasoline oils have had all the zinc and phosphates pulled out (these provide the 'plating' one poster commented on) but diesel oils still have them. Diesel oils have great properties for turbos too. As long as it meets API-SG or whatever your car calls for it will work just fine in your car despite the diesel specs that it also meets.
(For reference, your manual probably says API-SG or whatever, but all new oils will say API-SJ or maybe even API-SN. The last letter is what's important - as long as it is a 'higher' letter than the one called for in your manual you're fine. So if your car calls for API-SH, than API-SJ or API-SN are fine, but API-SG would not be recommended.)
Idle the car for 10-30 sec tops. Idling creates a lot of gasoline contamination in the crankcase and can really do a number in terms of acid formation. I usually let the car idle while I scrap the windows and brush the snow off, but that's it.
Drive it easily for a few minutes while it warms up - you're right to be concerned about enough oil getting to the top end and flowing to the turbocharger, but the best way to warm the oil up is to drive the car without really laying into the throttle. When it's /really/ cold I drive in 2nd/3rd gear until it warms up, trying to keep the rpms about 2000-2500 or so. You don't want to race it because the oil isn't lubing properly yet, but you want the engine making heat and splashing the oil as much as possible.
Once the temp gauge is up and the heater is on, wait another couple of minutes or so before you really start to lay on the throttle in the high rpms, because the oil will be a bit colder than the coolant.
Than have fun!
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1998 V70 AWD->FWD Turbo 200k+
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