I have a sweet 2014 Silverado now, and the only way I'd leave it running is to take the keys and lock it, then restart it with the remote start. That way, it's locked and protected by the alarm systems, plus the steering and shifter are locked. But it'd have to be damn cold out, and no shady looking maggots anywhere in sight.
Leave something running while unlocked and the keys in it? "Life is hard, it's harder if you're stupid."