The pressure should be at the recommended pressure when you start the car. Otherwise, you will have handling problems if the temperature is much lower than it was when you last checked the pressure.
No air escapes from the tire unless something is wrong. But the air changes its ability to make pressure with temperature. If you put 35 psi in the tire at 70 F, it will be 31 psi at 30 F.
The tire temperature and pressure increase when you drive, but this is designed into the tire. The important thing is the cold pressure. Too low and you get instability. Too high and the tire wears out faster.
The same thing happens to tires as happens to footballs.