Close off any unused rooms. The closed door makes that room another barrier between you and the frigid outdoors. It also stops air from circulating as much, which reduces heat loss.
Home improvement stores sell magnetic register covers to 'shut off' forced air furnace registers in unused rooms. That way when the heater does click on, only the registers in the rooms you use will pump out heat. This makes for more efficient use of the heater.
Check that all heat registers are adjusted open, especially where plumbing pipes might freeze. Unblock cold air returns in heated rooms (they may be blocked with furniture or rug) so heat can circulate efficiently.