With all due respect to someone who's probably been there and done that,
this technique is a balance of battery capacity against the heating effect.
The connections and conductors inside the battery are designed to be very
low resistance and therefore have a very low IR drop and low resulting I
squared R loss - aka heat. The chemical reaction which produces the current
is not exothermic - it does not generate heat. So the hear so generated is
quite minimal.
It is possible that getting the current flowing can improve some poor
connections by causing heating. This may help, but is still draining the
battery.
You are, however, draining the battery as well. I believe that if the
battery is in reasonably good condition and the car kept up, this technique
won't help (won't be needed)... However if the reverse is true then all
bets are off. I always preferred to keep things in good condition rather
than rely on a dubious "head lamp preheat".
In all cases that I have had starting problems at -20 or -30 F. fixing the
battery or tuning up the engine always helped/prevented it.
If it works, go ahead and do it.

--
Steve N, K,9;d, c. i My email has no u's.
"Ren Tescher" wrote in message
...
[snip]

Headlights are a lower load, and are variable as well
(they will glow dimly on weak battery).
And as electricity flows through something, heat is generated.
This is true for a battery as well! (yes, current doesn't
just flow out of a battery, it flows through it as well)

So while the headlights are dimly lit, they are slowly
warming up the battery.
You will notice during cold times like that, the headlights
will start to glow a dull orange, and after a couple of
minutes, they will be shining brightly. That is when you
attempt to start the engine.

If you don't let the headlights do their work,
the battery will never have a enough juice to start the car,
the starter will discharge the battery and it will not warm up.

Ren Tescher
formerly of North Dakota