If it is Sunday or Thursday then Yes take the train to get to Frontierland first (these are Early Entry mornings, so there is no morning character show).
If you are going to the park on Monday, Tuesday, Wednesday, Friday or Saturday... This will not be a huge advantage (you can get there faster by walking). The character morning show (the parks opening ceremony) is done on these days. The train that is used to bring the characters to Main Street has been modified for the characters and is not used in normal daily operations (it has no safety rails on the left side of the passenger cars). The morning show is at 8:50 on these mornings and as soon as it is over that train will depart (empty) and head back to the roundhouse to be stored for the day. The first train that will be coming in to actually load passengers will be holding just outside the station and will remain there until all the entertainment techs have cleared the station. The first train in usually arrives about 9:05 (sometimes later) then it will sit in the station for about 3 minutes before heading to Frontierland. So you figure it will be leaving Main Street about 9:10am. Yes you will still get there and find a short wait time, but you could have walked over faster.