If you could get the drivetrain up to operating temperature quicker it would help with your fuel economy but being cold there are other things to worry about.
Assuming wear/damage isn't an issue, would it burn less fuel to immediately put significant load on the engine, to warm it up. Or idle it until it warms up and is more efficient?
It'll burn more fuel at the "significant load", but will warm up considerably faster at such point, the fuel consumption will drop rapidly.
Likewise, assuming the engine will start without a block heater, will cost incrementally more (or less) to partially heat the engine up with a block heater, than it would by simply starting it and burning an additional amount of fuel to warm it? The sort of temperature increase a block heater could achieve in an hour or two at -35, for example, likely pales in comparison with just literally a few seconds of engine operation and the heat created in the block due to combustion of the fuel.
I've personally mostly avoided using block heaters because if a car is in such condition that it won't start from the ambient cold without one (ie: due to weak battery, starter, etc.), I really don't want to be taking that vehicle anywhere that it can get cold and not start anyways. So its a matter of safety.
0W-xx oils, of course, mandatory in Canada.