Nothing to do with how fast the oil heats up. It's all about viscosity. A 20W oil will still get up to operating temperature (considered to be 100degC).
The first number indicates the cold viscosity of the oil. The "W" indicates that the viscosity was actually measured at the cold temperature (around 0degC). This number only really means anything in relation to starting the engine. The lower the number, the faster oil can be pumped through a cold engine, and therefore the less dry running, and thus less engine wear.
The second number indicates the viscosity of the oil at 100degC. The higher the number, the higher the viscosity, and the harder it is to pump the oil around the oil galleries and through the bearing clearances. Modern high performance engines have small clearances, and thus require a low viscosity (30 or 40) oil. Older engines, like the old L-series Nissan engines, run larger clearances, and can tolerate a higher viscosity (50) oil.
Have a read: http://www.upmpg.com/tech_articles/motoroi...sity/index.html