Part of the advantage of a 0W oil is that at cold start the oil will flow better to tighter tolerances. Cold start is where the most engine wear occurs (mostly because of no or low oil pressure, but also due to reduced cold temp flow). As the engine oil begins to warm up, it becomes thicker, and at normal operating temps, it is at it's thickest point. Using a 0W oil will get you the best lubrication at cold start because it will get into the tighter spaces in your engine and will pump better than a thicker oil when cold. I don't think it would really matter if you waited a few thousand miles, but thats up to you.