Well, leaping off into the wild blue without warming up is not recommended. Remember you've got an aircooled engine there, not a cosseted, water-jacketed engine, so heating up and cooling is not as uniform as your car.
Just revving up and going could result in a cracked cylinder or something, just as you are in the climbout. Not recommended. Really, you should be warmed up reasonably well prior to power checks.
But it aint easy on a cold day. Damn things just dont want to warm up. On my 172 (RR O-300D), the book suggests 800 rpm for first minute (ie until pressure comes up) then 1200 rpm to prevent plug fouling. I'd use say 1400-1500 once I'm at the hold and on the brakes.
Sometimes I do the pre-takeoff checks once slowly before the engine checks - then I do 'em again after the engine checks. It double checks and it uses up some time, allowing the engine to warm up a bit more.
...and I know first hand what can happen. I flew a VP1 on a very cold day in the '80s, and on climbout the crankcase cracked. I got a bucket load of oil over the screen, the exhausts and even on my legs (seeped through holes in the bulkhead). Luckily I was at 1500 feet and circled back to land on the airfield.
Once over the first few seconds of sheer fright (the oil was smoking off the exhaust & I thought I was on fire), and checking the oil pressure guage, I decided to leave the engine on idle in case I needed a burst of power to get over the hedge. If your engine loses all its oil, it may be worth remembering this.
The oil cools as well as lubricates, so reduce the load right away - if you dont use power, i.e. leave it on idle, it wont get TOO hot, and it may (but I stress MAY) be able to give you a brief boost when you need it. In a situation like this, your engine will have to be stripped anyway so dont think about engine preservation as much as conserving what's left for a safe landing.