[AndrewJ]

It's not the engine that's doing the cooling, it's the radiator. And a radiator does one thing very very well (the thing it was designed for). It takes the heat out of your coolant and transfers it to the air that is passing through your cars grill/engine bay. If you block out most of that cold air, the air coming through your grill (and the radiator directly behind it) then you've just saved a bit of heat from leaching out of your radiator before the engine's warmed up.

Now if you want to get all technical, sure the thermostat keeps your coolant all locked away inside the engine block until it warms up sufficiently, but you must remember that once that temperature is reached all of that cold coolant from the rest of the cooling system has to be cycled through and warmed up. If you keep the rest of the coolant from getting unnecessarily cooled down, you'll get your engine (and all of it's coolant) warmed up quicker.