Not sure about remotely starting your RX, but to be honest i think its a little laziness or used to just 'show off'.
Why not get a good steering lock and go out and start your engine the old fashioned way, knowing that your car cant be taken?
Ok, then keys may get taken, but not if your sat watching it heat up.
As already stated, on a public road it is ILLEGAL leaving your car unattended whilst the engine is running, and is known as 'quitting'.
Police cars and ambulances in the UK have whats called 'run lock'.
These are activated by pressing a button on an already running engine, allowing you to remove the keys leaving it to run still.
The engine automaticaly dies if someone presses the clutch in or tries to select a gear.
These are designed so the police car/ambulance can be left running (with blue lights on) without running the battery down, and the keys removed for safety.
It may be better/cheaper getting something like this.