You should let the engine run for about 30 seconds or so, just to let the oil get round the various nooks and crannies(true of petrol engines also), but you don't need to actually warm the engine up. On most modern diesels, the best way to warm them up (as descibed in the handbook) is usually to drive the vehicle. If you are starting the engine at below 0C, the engine will start to warm the fuel, the excess being sent back to the tank via the bypass pipe. This will then start to heat the fuel in the tank. However, most diesel now comes with 'antifreeze' in it, so this is no longer a real problem (not in Europe anyway). The main reason for leaving the engine to 'run down' for a minute or so is to let the turbo cool down. They get very hot and have been known to seize if the engine is just switched off. They are expensive! If it is a non turbo engine, there is no real point in leaving it running.