Idling a TDI when cold is not recommended. The reason that they don't heat up very fast is that they are more thermally efficient.
If you are really concerned you could install a frost heater, which is an inline coolant heater, this would allow you to defrost very quickly.
As far as parking the vehicle outside... I had no problems starting my car after a low temp of -20F for two days in a row. The quality of the fuel is more important than having it inside. With advances in glow plug technology cold starts are not much of a problem.
As the trials of life continue to take their toll, remember that there is always a future in Computer Maintenance. -- National Lampoon, "Deteriorata"