Check your battery too. If you have a multi-meter, set it to 20V on the DCV side and check your voltage when the car is off. If you are pulling 12.3 or lower, you need to charge your battery......A 'good' reading is at least 12.5 or higher. Your battery could be on it's way out, or the alternator is not charging correctly. Typically, the lights will come on when the battery starts to get low.
The fact that the battery is low when it's cold and then lights go away after it warms up a little makes me think that it could be that.......It may be losing it's charge as it sits overnight and then the alternator charges it up once you start driving.