To be more efficient, you have to identify where you are losing and wasting the most energy. If you or your children leave the lights on all the time, make sure you switch to CFL bulbs that use much less energy and last a lot longer. You can also install a motion sensor switch for about $20. I put one in our bathroom and it works great. It turns off the light automatically when you leave the room.
If your furnace runs constantly you might need to add some insulation in your attic. That might not sound cheap but you can often find sales on insulation. And the return is huge, up to 80% of heat loss is through your attic. Also, use that cheap plastic film to cover your old windows in the winter. Stopping cold drafts will keep you feeling warmer so you can lower your thermostat a few degrees.
For every degree that you lower your thermostat, you can save up to 3% on your utility bill. Put on a sweater and a blanket in the evening when relaxing and sleep with a thick comforter. Also, if you do not have a programable thermostat, get one. They sell for around $20 and up. You can set the temperature to drop when you go to work and automatically come back up when you get home.