My 03 SD with the 5.4 smokes on every cold start. If the outside temp is cold <40, it smokes gray. If it is warm, it is black. Is this normal?

 

My guess would be that it's running rich because your O2 sensors haven't warmed up yet. I get the grey smoke when its cold out too but not the black. You'll have to wait till someone better informed comes along to know for sure.

 

Take it back to the dealer. It should be under warranty.