Cold tires means those parked in the shade an not driven for at least 2 hours. Watch the ambient temp too. Tires can change 1 psi for every 10 degrees F change in temperature. There's a very good reason why I don't use gas station air pumps. They get the hell used out of them and I doubt they drain the water out very often. This means you're probably getting more water vapor in your tires which means even larger changes in pressure due to temp changes.
I check my tires once per month. More often is fine. Tires typically lose 1 psi of air pressure per month. I also use the little screw on valve caps that turn red when the pressure is low. My tires are inflated to 30 psi, so I use the 32 psi caps. When the pressure gets to 28, they start to turn red. I still check the pressure with a gauge once per month, but the caps are an easy way to do a quick check.
There are a lot of reasons to maintain proper tire pressure. One they always say is fuel economy. It doesn't take too many lbs of pressure loss to equal a 2% decrease in fuel economy. This doesn't sound like much, but think of it as getting a free tank of gas once per year just for checking your pressure 12 times.
One last tip is don't forget to check the pressure of the spare. There's nothing worse than having a flat out in the middle of nowhere and finding out you have two flats.