The question should be have you selected the right oil for the engines use...
I have used HKS SUPER RACING 10w55 Max. Oil Temp. 150℃ (100% SYNTHETIC SM-CF equivalent), now use a Martini equivalent.
The viscosity of the oil changes with temperature and at higher temperatures this can result in frictional losses (higher wear).
Castrol edge 5w40
Viscosity, Kinematic 100C - 14.0
Viscosity, Kinematic 40C - 84
Viscosity index - 172
Castrol edge 0w40
Viscosity, Kinematic 100C - 13.1
Viscosity, Kinematic 40C - 77.1
Viscosity index - 172
Magnatec Professional C3 5W-40
Viscosity, Kinematic 100C - 13.4
Viscosity, Kinematic 40C - 81
Viscosity index - 169
The lower the viscosity index the more drop in viscosity as the oil warms up, a higher viscosity index the less drop in viscosity as the oil warms up. The higher the viscosity index the less drop in viscosity as the engine warms up.
Now if you are seeing less than the temperature that the oil is tested at (100°c) then you do not have a 40 SAE rated oil...
So the answer to your question is if you want the SAE of the oil to match what you have purchased then it needs to be at the temperature it was tested at 100°c. What is the oil pressure reading in the car?
My data logging shows that on the track my oil temperature tops at around 98°c with water at about 95°c, this excludes heat soak...
Did this a while ago, comparing oil pressure to temperature and you can see the trend with lower oil pressure over time due to heat soak.
MP_Oil_Temp by
Eipeip, on Flickr