Yep, it happens. I noticed it on my first winter with car and now "baby" it till the temp gauge is at least one notch above the blue mark. Idling the car does not help as it does nothing to warm up the tranny. I normally start the car, wait ten seconds and drive strictly under 2k rpm/under 50 kmph till I reach highway which is ~2kms.
(OO \ (|||) (|||) / OO)