How many amps that thing pull?
Probably a lot, hence Chris' and Mudbath's comments about not leaving it on. Personally, I would be more concerned about the strain and draw on the wiring... and I DEFINITELY would not hook it up to the headlight circuit for that reason. I would use a relay, probably a Ford starter relay with a fusible link, drawing straight from the battery.
Trust me, you haven't lived until your dash headlight switch has gone up in flames. Don't ask me how I know that.
Dylly, pretty much all the posters in this thread are from up north here, so we all know about cold. Heating your intake air all the time isn't necessary with a diesel, but is when you're trying to start things up.
As for your cooling system, in the spring you need to pull-and-clean the exterior of your rad (and yes, you HAVE to pull it to do it right), put it back in and then flush the whole system to remove any loose sediment, do your thermostats (ACDelco is my recommendation, and 195 is fine; having a 180 will lower your base (Tstat closed) temp but do nothing about your top (Tstat wide open) temp), check your Thermofan clutch engagement temp and mod if required.
Your truck absolutely should NOT overheat when not working hard, regardless of ambient temps.
In the winter, a full winterfront works wonders (drink up a flat of Kokanee and use the box to block out all the frigid air - the advantage here is the box wears out and you have to drink more Kokanee to replace it).
Speaking today from Calgary, in the heart of the New(frozen) West, where it's a balmy -26*C with a 15kmh north wind,
Jim