No. If you give your child a warning (or two, or three!) before placing him in “Time-Out,” all you are doing is demonstrating inconsistency, which will undermine the strength and efficacy of the technique. The more consistent you are, the more compliant your child will ultimately become.
For example, if like most parents, you strongly insist that your child remains in his car seat on car rides, it is likely that he will, overall, give you only occasional resistance about remaining in the car seat. Why? Because you have made this “rule” about car-seat compliance non-negotiable, and therefore you have been highly consistent.
Here are two exceptions to this recommendation for “no warnings before time-out”. First, when your child is generally well-behaved and you, therefore, feel as though you have the luxury of “cutting him a little slack.” Second, when there is an entirely new rule that your child has “violated,” without knowing that he had, in fact, violated any rule (e.g., he handles a brand new vase, without knowing that it is very expensive and breakable).