Does it do any good to turn the headlights on for a few seconds (then off) before trying to start the car in subzero weather?
It still can but I’d just try and start the engine without it.
My question is why?
No…unless you want to use up more power from the battery before you start it? 
Yes.
Anybody who lives in a cold climate, knows this as being a fact.
Tester
Yup. A battery is a chemical device. Getting that chemical reaction started warms it slightly and helps start the car.
If your vehicle has remote entry ( that usually flashes the turn lights ) then opening the door also turns on interior lights and putting the key in might turn on dash lights seems to make physically turning on head lights unnecessary .