In terms of simple fuel economy it must make sense to drive off immediately. However, there are other considerations, I always allow my engine to idle for about a minute before driving off, to allow the oil to circulate up to the top of the engine and to allow it to warm up a little. I believe this minimises engine wear at its most critcal time, when the engine is cold and the oil is thick. I then drive away but avoid using more than half throttle until the thermostat opens. As you say, if you allow it to run when the car is frozen then it will help melt the ice off the windows, I always run the engine while I scrape the frost off, with the screen blower and rear heater going, then it is safe to drive away.