I'm not trying to be Mr. Know-It-All here, but I've really given this a LOT of thought over the years. And have come to some pretty definite conclusions.
Barry, go ahead and knock yourself out with the "heat guns"- but in any climate north of the Mason/Dixon line, it's gonna' be an exercise in futility. Electricity has it's place in keeping you warm- and it's a seat heating pad, and electric blanket- for about $50 total.
As far as Gordon's idea- that actually came in a close second to the gas heater when I was researching it in '04. It's a good idea that would require a bit of work to get done, but has a lot going for it. When I was considering it, I was afraid of the length of lines, etc.- but there are a lot of guys running Setrabs behind the horn grilles, so that probably isn't an issue. A bigger concern is the actual temperature of the oil- under 30 deg O/A temp, my car struggles mightily to get above 180 deg oil temp (like 30 miles or more), and I've been running a 9:1 2110 with iron jugs. If a guy had a VW thermostat and dog-house, then the temperature should build rapidly enough to provide some useful heat reasonably quickly.
Using the exhaust heat is really an elegant solution, if the flaws in the design can be worked out. Taking the intake air from the cabin behind the seats (with a blower fan), and routing it into the heater boxes, then through some ducts running inside the cabin (if possible), and discharging in the foot wells would be great. Doing this in addition to the oil cooler would probably be enough for even Mike up in Quebec. As far as Alan's original question- running the heat through a PVC pipe insulated with 1/2" or 3/4" wall Armaflex, and then painting (with the special Armaflex paint) to encapsulate it, and boxing the whole thing off with some sheet-metal under the sills to keep out water and grime- would probably work, but I've never tried it.
But.... a new gasoline heater really is simple, compact, and throws a lot of heat. It's not cheap, but neither are custom heater boxes and exotic oil cooler set-ups. With my car, I can drive comfortably top down on a 20 deg night- if I've got the windows up, the wind deflector in, the gasoline heater on, and I've got the seat heating pad on, and an electric blanket on my lap. I could drive all day long like that. Top up? I don't want to drive the car when there is snow or slush for a variety of reasons- but I don't think the cold would stop me at this point.