You want to warm up the entire drivetrain. You should drive off but keeping the engine load low and RPM below 2-3k for about 5-10 mins to bring not only your engine temps up but also other lubricated parts like transmission, differential etc up to temp. By driving off right after you start the car, you warm up the whole car more evenly and faster but may even remedy carbon build-up since your car goes into close loop off idle [efi cars].