Try it without preheating first. If you don't need it, why do it?

But if you find it's helpful, I recommend wrapping the copper tubing around the engine's cylinder, as opposed to the header or muffler, after all, you NEED the heat there, so why rob your muffler of the heat it needs by taking some of that heat away? (Remember, by heating the oil by wrapping the line around the muffler, as the muffler heats the oil, the oil cools the muffler. So you are effectively robbing Peter to pay Paul).