It should be blue when cold; does it stay there, ALL the time? If it does; it maybe the coolant temp sensor, wiring or plug/connector is bad. I would scan the car; for trouble codes, post them up here for help! The codes; will hopefully, push you in the direction of the problem!
Even in the winter, you don't need to let the engine idle until the light goes out, just drive it "gently" while it is blue. Some people will idle their cars in winter under the false assumption that they're helping prevent engine wear. Since I always use full synthetic (like VW recommends), driving the car when cold should not be a problem.
But just to be safe, I try to keep the RPM's under 3k until the blue light goes out.