I let things cool down a bit - I get less burns and pain that way.
I have had many plugs stick trying to get them out cold.
Warm/hot has been better, in my experience.
I suppose that the Mfr. would recommend cold because of the possibility of the aluminum being weaker at extreme high temps, and a dirty plug could strip it. Otherwise, why would you want the aluminum contracted tight against the plug [when cold]?