How are you determining that the engine is not warming up? Via the temp gauge or via the hidden menu #7 in the BC (KTMP: value)?
If the thermostat is indeed faulty and that is common - it's pretty easy to replace it.
Remove the front plastic under-shield.
Remove the inlet air ducting above radiator.
Remove MAF-to-Turbo inlet ducting
Drain radiator via drain plug on bottom. Not all coolant will be drained but enough to change the thermostat.
You can now reach in and change thermostat - you'll need e-torx sockets.
It's a good idea to do this sooner rather then later as an M57TU that runs cool will kill your glow plugs pretty quickly.
I did a brief write-up here: -
https://xoutpost.com/1084162-post23.html
With pictures here: -
https://xoutpost.com/1079662-post7235.html