I don't do this when making baked goods, like cookies, cake or breads - they need to go in when the oven is fully pre-heated in order to bake properly. I do put a dish of savory food in while preheating, especially if it's been refrigerated. Works just fine, no matter the material the dish is made from.
Chief, I was assuming the the OP meant putting a dish full of food in the oven to preheat with the oven - not an empty one. Although when I make cornbread, I do put my cast iron skillet Into the oven to preheat and add the batter once it's really hot.