You should do this for ANY high reving modern motor with tight engine tolerances. Today's motors are built to tolerances that allow the engine parts to work well together once the motor is at full operating temperature. So when it is cold, and the metal parts have not expanded, things don't quite work right.
Let the car warm a bit before you drive, and then keep the rpms below 4500 rpm, but also not much below 3000 rpm (you also do not want to lug the engine) until the car has fully warmed up. I actually do not agree with the advice that you should wait until the coolant temp shows up before you hammer it. You should wait until the OIL is up to temp before you hammer it. We do not have an oil temp gauge, but you can get a pretty good idea by waiting at least 10 minutes after you start the car before you start pushing it, and you might even want to wait about 15 before redlining it. And in the winter, wait a little bit longer still. Or, you can use the water temp, but wait until it has reached its normal temp before you push it; I think this is a much better indicator that the oil temp is where it should be.
I realize that the ECU restricts your RPM to 6000 (I think) until the car shows temperature, and then it allows full RPM. But this is just to make sure that a total idiot who does not know anything about engine warm-up does not damage the motor by starting it and immediately redlining it. When the car shows temperature, I think it is a decent indicator that the oil is getting up to temp, but it is not the best measure. It shows temp at 158.
I actually wait until the car gets up to at least 180 on the coolent temp before I go over 4500 RPM, and then wait a little longer for any real high revs. This is much easier to do in an Exige S because you are always in the power band anyway.
Oh, and all of this is only after a cold start when the car has been sitting over night or for days. If you run to the store, and then come back out in 20 minutes, then you really do not have to worry too much. I would still watch things a bit, but in this case the car should be right back where it was in a minute or two, or no time on a hot summer day. Even 4 hours of sitting on a summer day will allow the car to get up to temp very fast.
Stephen