I think you're talking about profile creation - so its more to do with the client than the server.
Are you using roaming profiles? If so, you just need to log them onto a domain machine of the same operating system. If not, then you need to log them onto their specific machine and there's no way round that.
You could probably find some way of scripting / automating this, but it really depends on how exactly you're creating the users and what you're doing with passwords etc.
Edit: As you're on a terminal server, you may be able to abuse some kind of stress testing. Here's the kind of thing I'm thinking of:
I want to very clear, however, that I don't endorse or recommend this. I'm answering the question you've asked - but I really think the question itself is flawed. It's by design that the first logon creates the profile, and it's been this way for many years with no indication that it's due to change. You should be concentrating on sorting out your logon times - unless you're running some specific application with a known issue I guess.