I would only do it if the 15W40 is Rotella. If not, it would probably be okay, but thats me being paranoid.
Otherwise it will get you better cold weather performance.
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-Colton
2004 Ford Crown Victoria LX, 46,xxx
Schaeffer Supreme 7000 5W20, Puro PureOne
Schaeffer All-Trans Supreme ATF
Amsoil Severe Gear 75W110