Oil light comes on and stays on till trucks warms up.

I would say that it is not normal. Lots of factors come into play here, but you may be running to thick of viscosity for the temps in your area. I would also be suspect of how much flow you have through the oil filter. You could also have a weak oil by pass spring that regulates pressure at the pump.
 
It takes a while for my oil light to go off and register pressure


It only does this in cold weather. 200,000 miles F-150 w/4.6.

Is this normal?
It sounds like the top of your engine is being starved of oil. Try having the valve cover removed, and check for sludge.
 
I would suspect the pressure switch that runs the gauge is bad. It's just a 7psi on/off switch that puts the gauge in the middle somewhere when it's triggered. Something cheap to try first:

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If you don’t have massive hydraulic cam follower clatter, I would change the oil pressure switch. If you really had no oil pressure, ALL the followers would be clacking furiously until pressure came up.
 
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