When the engine is cold, don't give it any heavy throttle until the needle on the temp gauge at least reaches the first mark. You want to let the engine oil warm a little before highway driving. After hard driving on the interstate, I usually run it for a mile or two on a "cool down" period. As far as turning off a hot engine right after driving, it won't hurt anything, unlike the Maserati BiTurbos. Those you had to let cool down for at least 5 minutes before you shut the engine off or else you'd coke the oil in the bearing housings. Also, it is a good idea to give your turbodiesel an "Italian tune-up" every now and then. When you run them hard (i.e. 3,700-4,000rpm) it burns off the carbon deposits in the combustion chamber. Give it a good 5-10 minute blast on the open road then cool it down before exiting the interstate. It's also a good idea to use a bottle of Red Line Diesel Catalyst every other tankfull. Keeps the injectors clean and the pump lubricated. Hope this helps!
'67 250SE Cabriolet
'93 300E 2.8