From the limited use of the heated steering wheel I have had there have been no issues, although when it has been neccesary to switch it on it has taken a few minutes to warm up due to the near freezing outside temperature. The HSW works to a set temperature similar in operation to a simple thermostat. It heats up and once reaching a pre determined value it switches off only to automatically switch on once a lower temperature is reached to maintain a satisfactory temperature.
The same applies to the heated seats.
However, and if my memory serves me right (although I have not used it), only applicable to the 50e it is possible to programme the car to heat up the cabin, seats and steering wheel before a journey by setting a convenient time via the BMW App.