Every engine is a little different. Some are unusually friendly, some are unusually finicky, and most are in between. The "in general" answer is

25-30 degrees and warmer: no heater should be necessary as long as your glowplugs work
0-25 degrees (give or take): Heater will help but if you can't practically use it, you probably won't notice a HUGE difference *provided* your battery is strong and your oil doesn't get too thick.
Below 0: it's a good idea to plug in.


Again, these are estimates. 60x engines are thoroughly different than 61x engines for cold starting. Some examples of each will start at negative ten degrees with no extra heat. Some will refuse to start without the plug at fifteen positive if they're not up to snuff.

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~Michael S.~
Past cars:

1986 300SDL
1987 300SDL
1982 240D
1982 300SD


Current:

1987 300SDL