Do I need to preheat, and if so, which method is best?
You must preheat your PRO2 brew cylinder before brewing for best results. Otherwise, the stainless steel's lower temperature will drastically cool your brew water, which could result in a bitter or unpleasant extraction: Try and get your cylinder as close to your brew temp as able.
There are several methods for preheating. As described in the PRO2 Quick Start guide, a common method is the "fill/dump" method, using your preheat cap.
(a) Add preheat cap onto bottom (o-ring side) of cylinder and fill with just boiled water. Leave for at least 30 seconds. (b) Pour out preheat water from cylinder, remove the preheat cap. (c) Place cylinder on top of portafilter.
It is best to repeat this fill/dump 3x before brewing for best results.
However, our favorite preheat method is to utilize the steam from your kettle. Simply situate your cylinder on the vent of your kettle, if applicable, allowing the steam produced to preheat your cylinder as you boil your brew water. Two birds, one stone!
If pulling back-to-back shots, you likely do not need to preheat between extractions as the cylinder will still be warm from your first attempt.