I think it makes a lot of sense, because when the CPU and GPU run at high loads, the fans will rev-up to dissipate the heat faster. I'd think shutting down your console immediately would have adverse effect on the lifespan of the components, and it might even degrade your thermal paste a lot faster. After all, cooling at room temperature isn't exactly the most efficient way to get rid of trapped heat (why else do the consoles have system fans, right?
).
Unfortunately, there's no way to test these claims, because it would involved weeks, months, or even years of experimental observation to determine the type of usage that would cause a console to die faster. But, like you said, it's better to be safe than sorry.
In any case, I use the same methodology for my PS3 and PC. After an intensive gaming session, I'll let them sit on idle for about 10 minutes before shutting down.
