Back on topic, I let my car run while locked, keeping the key in my pocket the whole time.
Unlock door.
Turn it on.
Exit car.
Shut door.
Press door lock button.
Watch the car from the inside all nice and warm.
..it's pretty straightforward.
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Pearl White 2010 370Z Sport, Stillen CBE, tint, K&N drop-in filters, GT-R start button, Kenwood DNX-6980 with backup cam, LED bulbs, Raceseng shift knob.