Keep engine running with the car locked (2021 CX-9)

I need to keep the engine running to keep the car heated while I go and pick up my kid or get something from the gas station. This is a 2021 CX9. The only way I can think of is to lock the car and then remote start it. This is because taking the physical key is not an option. Is there a way to do this? Looks like the only other way is to keep the car unlocked and the engine running.

2019 CX-5 Signature
What's your issue with remote starting?

It can be done by either leaving the window down, and then reaching in and closing it (Auto-up). The other way is to physically lock it with the key after closing the door. Both of those methods will not prevent the vehicle from being stolen. Remote start would eliminate that concern.
2016 Mazda CX-9 GT
On my 2016 CX-9. I start the car the normal method. Get out and take the emergency key out of the keyfob. Insert it in the drivers side handle and turn to lock. Leave the car warming up then come back. Insert the key in the drivers door handle and unlock.
You can lock the car with the fob button after you get in and start it. Just get out and press the button. You can then walk away with it running
2019 CX-9 GT
i installed startx,. plug and play. car runs for 10-15 mins with engine running and locked. just get in, press brake and drive off. no need to restart.