Yeah, a proper warm up is crucial, especially for us not so you young anymore! :D The gym is actually some 30 minutes walk from our apartment and I always walk up there so if you walk fast enough, you already get some warm up even before actually getting there :)
On the Azores, I was swimming in the ocean when the water was 16 C so I can imagine... Not exactly comfortable :D You don´t use neoprene wetsuits?