Use the suggested PID settings, these are the ones that have been developed specifically for driving this sensor.
What do they change? I cant honestly say as I have very limited knowledge on the way the Pump and Nerst closed-loop control actually works.
Its going to take an amount of time to get the sensor hot enought to provide a correct reading, no matter what you do.
If you are having problems at lower temperatures then this is really a cold start enrichment issue rather than the way the sensor is being driven - chances are you're way too lean. Although this graph is for crank fueling it does show how the fuel requirement increases massively with small temperature changes as things get colder - note the difference in fueling between -15 and -25