For years, I've idled my vehicles with the key in the ignition, I don't see much of a difference.
My solution is to always roll a window down, at least enough that I can reach the lock. I'll usually go for the rear driver-side window, for some reason, I feel like it's slightly more security, even though the doors (should be) unlocked. As always, I would never leave the key in the ignition or in the car if I felt it wasn't a safe location.
Main reason for my window solution is because I've had vehicles phantom-lock on me, particularly Nissans and Mazda. My old Maxima had a sensor in the lock so when you lock the driver's door, all 4 doors lock. Real cute when you slam the door and the sensor trips, locking all 4 doors.