My $0.02 worth (these are just my personal opinions, and like everyone else I have no hard scientific data to back it up with, but it makes sense to me):
Drive off (gently) straight away. Excessive idling can contribute to glazed piston rings (particularly with a new VW TDI engine). The engine will get to proper operating temperature much quicker with a bit of load on it.
After a few minutes of gentle driving you can start to use a bit more accelerator pedal and revs (but not over 2,500).
When the coolant AND oil is properly warm (may take another 5 minutes after the engine coolant is up to 90C) then you can use full accelerator and rev up to 3,500 (yes, even on a brand new engine). I wouldn't do this in every gear all the time, but reasonably frequently will help your engine run in better (it increases the combustion pressure, which pushes the rings harder against the bore, which helps avoid glazing and creates a better seal/"fit").
Even if you want to drive for maximum fuel economy you should use at least 2/3rds accelerator pedal at least once or twice an hour to help prevent the variable vanes in the turbo from sticking (and besides, it's fun
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)
TDIs that are run in with varying revs (no cruise control allowed during the first 2,500KM) and frequent application of full accelerator tend to have better compression, run better and get better fuel economy than those that are always babied and driven very gently.
I always drive gently for the last 3-5 minutes of any journey to allow the turbo to cool down a bit before switching the engine off when I get to my destination. Similarly if I have to stop suddenly after working the engine hard (eg driving up a long, steep hill) I will allow the engine to idle for a few minutes so everything can cool off with good circulation of coolant and engine oil (generally I try to avoid idling where I can). If you switch off with a very hot turbo heat soak can cook the engine oil on the turbo shaft, leading to damage and possible turbo failure.
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