Warm up's a a smart move to relax all tissue that will be stretched but once this is done there is no need for heat through the workout. It would be good to use heat through the workout but this is a tough thing to accomplish unless you have access to a sauna or a similar situation. When training the penis remains warmed up as stretching in itself causes heat. After training applying heat is good to warm-down, I find heating pads to be the best but damn, I would love to have access to a sauna.