I take it the conflict you expect is whether to run it or not.
I expect you may see a benefit as you say it gets cold.
From everyone I've spoken with, exhaust heat comes in quicker, water heat is easier to regulate.
Wheter or not you "need" it I suspect depends on how much you intend to drive it durring the cold season, so if you would elaborate on that it would help those giving advice (ie, is this your year round driver, or do you just want the driving season to be a bit longer? ).
Either way, sounds like a neat way to go, and probably a neat ride (pickup, hotted up car perhaps ?

).