it is a pre heater and a cooler in one, like everyone has said it help heat up tranny fluid to a point then it helps cool and it does work, if you remove it it will make you run hotter trans temp especially in town, but on a open road you don't notice the difference much. Most relocate it to up in the front bumper or else where, I have mine wrapped in header tape for now and is sits in the stock place, I just removed the plate it sets on so my twin's would fit where I wanted them to, and the header tape helps me out alot with out it the exhaust heat makes my trans fluid heat up to much.
Now as to if you race or have a tight converter do not remove it completely no matter what is said, because it cools more then most think unless your coolant temp stay high for so odd reason. It normally heats to 180 190 then themastat opens and cools back down to 150 or so, which then in return absorbes heat from the trans fluid and cools it. Also then your standard cooler in the front is able to keep up better.