I change it when hot, or at least warmed up.
But to be honest, I'm not sure I understand the rationale of it.
It seems to me that the objective is to drain the maximum amount of oil. Wouldn't that be after the oil has been allowed to settle for the longest period of time ... that is, cold?
Given that a cold engine has most (all?) of its oil in the oil pan, why wouldn't draining it cold make sense?
I'm serious ... I've always wondered about that.