In gear with the handbrake - Yes, I believe it'll warm up little faster, but I don't think it's completely safe. There's other stupid things that are more dangerous than this, but still...

I've had owner's manuals with all 9 cars I've ever owned (Datsun, BMW, VW, HondAcura, & Saab). I've never seen that in any of them. In fact, there's a whole stupid section full of warnings about how not to hurt yourself. When there's a whole chapter about how to wear a seatbelt, do you really think they're gonna tell you to leave it in gear & walk away??

I think the part you remember is that it says to put it in D4 & begin driving.