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If one has to regularly start driving up a short steep driveway on a cold engine, is it better for the engine to go in reverse or first gear?

It makes no difference to the engine, as it still to propel the weight of the vehicle up the driveway. It's more an issue of whether the driveway is steep and slippery, it the vehicle front or rear wheel drive etc. I'm talking more about traction than what is good for the mechanical components. Of course, in a perfect world, you'd warm the engine up first but that's not always practical.