I had always left the projector on with the fan running at the end of watching films for the day/evening, until the air coming out was cool. Many people swear by it, but I've come to the conclusion that it does nothing to prolong lamp life.
If you think about it, letting the lamp cool off without a fan could not do any harm. When the lamp is off, it is of course cooler than when it is on. The real "damage" is done to the lamp when it is on during projection.
If anything, cooling it off too fast could cause an issue. Emphasis on "could."
The real purpose of the fan is to keep the lamp from overheating during projection, and of course to help protect the film and the gate from getting too hot.
Some projectors, like Eumigs, run the fan as soon as you plug it in. They also pre-heat the lamp, which helps.
The Elmo ST-1200HD allows you to run the fan with the lamp off, and the spindles and shutter not turning. It's nice that the lamp switch is completely separate from any other control. It also has a high/low setting on the switch.
The Elmo ST-800 requires you to put the machine in forward to run the fan -- with the spindles and shutter turning. It only turns the lamp on when you engage the sound heads.
Sankyo sound machines (at least the 702 I have) also require you to put the machine in forward to run the fan. It also preheats the lamp like Eumigs.
So my current line of thinking is the only way to improve a lamp's life is the quality of the cooling system already inherent in the projector. I'm not sure anything else can be done other than using a "low" setting for projectors that have it, but I much prefer the brightest picture possible.