Why would you want to waste power and the life of your fan by having it run while your car is off? The engine can have buckets of heat while its off, and still be fine, because there is no load. If you really wanted to be anal, you could leave the key to ACC2 (or the one right before start), and if the engine is hot enough the aux fan will operate, and then you can run the heater on full blast to take all of excess heat....so your engine is nice and cold when you go to restart it.

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1991 300E - 212K and rising fast...