I drive gently for a few miles to let it cycle up a little across the engine.
At least I used to do this until I got a car with the dual sidepipes as this is so loud I now try and clear the drive as quickly and quietly as humanly possible so we don't get shot. Damn it's noisy but I love it.
Since I got a sports exhaust for my 4 Seater I have the opposite problem - can't resist announcing my departure to the neighbours. Serves them right for moaning about my son playing football

Hence I do tend to let it warm a minute or so on the drive first...
Richard