Is it true that a pitcher can be penalized by the umpire for licking his fingers if he has been warned?

Yes. Its called a "Spitball". A spitball is when a pitcher either licks his fingers, spits on the ball, or uses any substance (i.e.: cooking oil, gel deoderant) that has a slickness to it. This causes the pitcher to give an extra break on a pitch. (i.e.: Instead of the normal 22 rotation spins on a curveball, ittl go 25-30 times for more of a break)

AnswerRule 8.02 of The Official Rules of Baseball:

" The pitcher shall not --

(a) (1) Bring his pitching hand in contact with his mouth or lips while in the 18 foot circle surrounding the pitching rubber. EXCEPTION: Provided it is agreed to by both managers, the umpire prior to the start of a game played in cold weather, may permit the pitcher to blow on his hand.

PENALTY: For violation of this part of this rule the umpires shall immediately call a ball. However, if the pitch is made and a batter reaches first base on a hit, an error, a hit batsman or otherwise, and no other runner is put out before advancing at least one base, the play shall proceed without reference to the violation. Repeated offenders shall be subject to a fine by the league president."

There is no reference to the umpire penalizing a pitcher for licking his fingers other than the umpire shall immediately call a ball. There is reference to repeat offenders being subject to a fine from the league president.

basicaly if ur going to lick ur fingers do it on in the dirt arount the rubber do it on the grass

UPDATE:

Starting with the 2010 MLB season. MLB rules state that a pitcher my go to his mouth to lick his fingers on the mound as long as he is not on the rubber. The pitcher must whipe his hand againt the uniform before returning to the rubber. If this act is performed either on the rubber or he does not whipe his fingers this will be called a balk