Tesla
lists the heated steering wheel as one of the major differentiation points between the premium lineup (S/X) and the entry level models (3/Y). As such, this is unlikely to happen. Every now and then a rumor will pop up - just like for the air suspension - but nothing has materialized to date.
On a related note, also thought I would miss a heated steering wheel dearly. However, with the ability to preheat the car via Siri, I've not thought about it a single time - and yes, winters are cold where I live - so it might not end up being as of a deal as you think now.