Cold transmission oil can cost you a lot of power, in road racing circuits it typically takes a couple laps to get the transmission and differential up to temperature.
I have seen an item talking about dyno tuning that mentions cold transmission oil can cost a Porsche 40 hp at the wheels.
One of the tricks of the dyno trade is to put the car on the dyno relatively cold, get a "baseline" fiddle with it a bit making several passes then rerunning a final horsepower plot which shows a gain. Most of that gain is due to warming up the oil in the engine, transmission, u-joints and differential.
Not saying all dyno guys do that intentionally, but there is a reason lots of professional race teams preheat engine oil and transmission prior to qualifying.
Unless you are seeing excessive oil temps I would think heating pads for your oil tanks, oil pan and transmission (especially on return runs) would be a better expenditure of money.
I have a friend who builds gear sets for high end Porsche racing teams and this discussion came up some time ago and I asked him the same question.
I can't find the exact message he sent me on it, but as I recall full transmission temp should be something in the order of 180F before you get minimum power loss from the gear lube being cold. On most road racing circuits that takes a couple laps so depending on course length you are talking 3-5 miles to come up to full temp.